You are not currently logged in.
Access your personal account or get JSTOR access through your library or other institution:
If You Use a Screen ReaderThis content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Testing Exponentiality Based on Kullback-Leibler Information
Nader Ebrahimi, Mohamed Habibullah and Ehsan S. Soofi
Journal of the Royal Statistical Society. Series B (Methodological)
Vol. 54, No. 3 (1992), pp. 739-748
Stable URL: http://www.jstor.org/stable/2345854
Page Count: 10
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Preview not available
In this paper a test of fit for exponentiality based on the estimated Kullback-Leibler information is proposed. The procedure is applicable when the exponential parameter is or is not specified under the null hypothesis. The test uses the Vasicek entropy estimate, so to compute it a `window size' m must first be fixed. A procedure for choosing m for various sample sizes is proposed and corresponding critical values are computed by Monte Carlo simulations. The use of the proposed test is shown in an illustrative example. Also, by means of Monte Carlo simulations, the power of the proposed test under various alternatives is compared with that of other standard tests. The results are impressive and the proposed test, almost always, has higher power than that of the other tests considered.
Journal of the Royal Statistical Society. Series B (Methodological) © 1992 Royal Statistical Society