Use of mean residual life in testing departures from exponentiality
Authors:
S. Rao Jammalamadaka a;
Emanuele Taufer b
| Affiliations: | a Department of Statistics and Applied Probability, University of California, Santa Barbara, USA |
| b Department of Computer and Management Sciences, University of Trento, Trento, Italy |
DOI:
10.1080/10485250600759454
Publication Frequency:
8 issues per year
Subjects:
Mathematical Economics;
Mathematical Finance;
Medical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
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Abstract
We utilize the important characterization that E(X-t|X>t) is a constant for t∈[0, ∞) if and only if X is distributed as an exponential random variable, in order to construct a new test procedure for exponentiality. We discuss asymptotic distribution theory and other properties of the proposed procedure. Simulation studies indicate that the proposed statistic has very good power in a large variety of situations.
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| Keywords: Kolmogorov-Smirnov statistic; Mean residual life; Quantile process; Test for exponentiality; Wiener process |
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