Abstract
Some small sample results are given for two parametric tests of independence of a pair of exponential random variables and two non-parametric tests of independence. Critical values are given for three of the test statistics for sample sizes n ≦ 20 and various approximations to them are developed and evaluated. The small sample power performance of the tests against a specific bivariate exponential alternative is evaluated using monte carlo results. Finally, asymptotic distribution results are given and used to develop power approximations based on the use of variance stabilising transformations.
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