SUMMARY A test of exponentiality is proposed which is consistent for alternatives with monotone failure rate. Derived as a weighted integral of the difference between the characteristic functions of the sample and of the exponential distribution, the scale-invariant statistic depends on the mean value of the exponential density function, evaluated at the sample observations. The power of the test is similar to that of the Gini test of Gail and Gastwirth (1978b), and both compare favourably with other leading tests of exponentiality.
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Epps et al. (1986) studied this question.
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