Resumen de Tests for Exponentiality Against the M and LM-Classes of Life Distributions

Bernhard Klar

• This paper studies tests for exponentiality against the nonparametric classes M and LM of life distributions introduced by Klar and Müller (2003). The test statistics are integrals of the difference between the empirical moment generating function of given data and the moment generating function of a fitted exponential distribution. We derive the limit distributions of the test statistics in case of a general underlying distribution and the local approximate Bahadur efficiency of the procedures against several parametric families of alternatives to exponentiality. The finite sample behavior of the tests is examined by means of a simulation study. Finally, the tests under discussion are applied to two data sets, and we discuss the applicability of the tests under random censorship.