TY - JOUR

T1 - Lilliefors test for exponentiality: large deviations, asymptotic efficiency and conditions of local optimality.

AU - Nikitin, Ya.Yu

AU - Tchirina, A.V.

PY - 2007

Y1 - 2007

N2 - We study large deviations and Bahadur efficiency of the Lilliefors statistic for testing of exponentiality. This statistic belongs to the class of Kolmogorov–Smirnov type statistics with estimated parameters. Large deviation asymptotics of such statistic is found for the first time. We show that the test has relatively high local efficiency and construct the alternative for which it is locally optimal

AB - We study large deviations and Bahadur efficiency of the Lilliefors statistic for testing of exponentiality. This statistic belongs to the class of Kolmogorov–Smirnov type statistics with estimated parameters. Large deviation asymptotics of such statistic is found for the first time. We show that the test has relatively high local efficiency and construct the alternative for which it is locally optimal

KW - large deviations

KW - Lilliefors test

KW - testing of exponentiality

KW - Bahadur efficiency

M3 - Article

VL - 16

SP - 16

EP - 24

JO - Mathematical Methods of Statistics

JF - Mathematical Methods of Statistics

SN - 1066-5307

IS - 1

ER -