Recent and classical tests for exponentiality: a partial review with comparisons

Abstract

A wide selection of classical and recent tests for exponentiality are discussed and compared. The classical procedures include the statistics of Kolmogorov-Smirnov and Cramer-von Mises, a statistic based on spacings, and a method involving the score function. Among the most recent approaches emphasized are methods based on the empirical Laplace transform and the empirical characteristic function, a method based on entropy as well as tests of the Kolmogorov-Smirnov and Cramer-von Mises type that utilize a characterization of exponentiality via the mean residual life function. We also propose a new goodness-of-fit test utilizing a novel characterization of the exponential distribution through its characteristic function. The finite-sample performance of the tests is investigated in an extensive simulation study.