Exact likelihood ratio testing for homogeneity of exponential distribution

Milan Stehlik (1) , Helga Wagner (2)

1 Department of Applied Statistics [Linz]
2 Johannes Kepler University

The aim of this paper is to discuss homogeneity testing of the exponential distribution. We introduce the exact likelihood ratio test of homogeneity in the subpopulation model, ELR, and the exact likelihood ratio test of homogeneity against the two-components subpopulation alternative, ELR2. The ELR test is asymptotically optimal in the Bahadur sense when the alternative consists of sampling from a fixed number of components. Thus in some setups the ELR is superior to frequently used tests for exponential homogeneity which are based on the EM algorithm. We demonstrate this fact by both theoretical comparisons and simulations.

Mots clés: Physical Sciences

Domaines: Calcul [stat.CO]

Milan Stehlik, Helga Wagner. Exact likelihood ratio testing for homogeneity of exponential distribution. Communications in Statistics - Simulation and Computation, 2011, 40 (05), pp.663-684. ⟨10.1080/03610918.2010.551011⟩. ⟨hal-00680009⟩