Exact Likelihood Ratio Testing for Homogeneity of the Exponential Distribution

Abstract

The aim of this article is to discuss homogeneity testing of the exponential distribution. We introduce the exact likelihood ratio test of homogeneity in the subpopulation model, ELR, and the exact likelihood ratio test of homogeneity against the two-components subpopulation alternative, ELR2. The ELR test is asymptotically optimal in the Bahadur sense when the alternative consists of sampling from a fixed number of components. Thus, in some setups the ELR is superior to frequently used tests for exponential homogeneity which are based on the EM algorithm (like the MLRT, ADDS, and D-tests). One important example of superiority of ELR and ELR2 tests is the case of lower contamination. We demonstrate this fact by both theoretical comparisons and simulations.