KYBERNETIKA

Kybernetika 43(3):307-314, 2007.

Test for Exponentiality Against Weibull and Gamma Decreasing Hazard Rate Alternatives

Simos G. Meintanis

Abstract:

A sub-exponential Weibull random variable may be expressed as a quotient of a unit exponential to an independent strictly positive stable random variable. Based on this property, we propose a test for exponentiality which is consistent against Weibull and Gamma distributions with shape parameter less than unity. A comparison with other procedures is also included.

Keywords: goodness-of-fit test; empirical Laplace transform; likelihood test;

AMS: 62F03; 62F05;