exptest (version 1.2)

ep.exp.test: Test for exponentiality of Epps and Pulley

Description

Performs Epps and Pulley test for the composite hypothesis of exponentiality, see e.g. Henze and Meintanis (2005, Sec. 2.8.1).

Usage

ep.exp.test(x, simulate.p.value=FALSE, nrepl=2000)

Arguments

x

a numeric vector of data values.

simulate.p.value

a logical value indicating whether to compute p-values by Monte Carlo simulation.

nrepl

the number of replications in Monte Carlo simulation.

Value

• A list with class "htest" containing the following components:
• statistic
  the value of the Epps and Pulley statistic.
• p.value
  the p-value for the test.
• method
  the character string "The test for exponentiality of Epps and Pulley".
• data.name
  a character string giving the name(s) of the data.

Details

The Epps and Pulley test is a test for the composite hypothesis of exponentiality. The test statistic is $$EP_n = (48n)^{1/2} \left(\frac1n\sum_{j=1}^n\exp(-Y_j)-\frac12\right),$$ where $Y_j=X_j/\overline{X}$. $EP_n$ is asymptotically standard normal (see, e.g., Henze and Meintanis (2005, Sec. 2.8.1).

References

Henze, N. and Meintanis, S.G. (2005): Recent and classical tests for exponentiality: a partial review with comparisons. --- Metrika, vol. 61, pp. 29--45.

Examples

ep.exp.test(rexp(100))
ep.exp.test(runif(100, min = 0, max = 1))