Bahadur efficiency for certain goodness–of–fit tests based on the empirical characteristic function

01/21/2022

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by   Simos G. Meintanis, et al.

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We study the Bahadur efficiency of several weighted L2–type goodness–of–fit tests based on the empirical characteristic function. The methods considered are for normality and exponentiality testing, and for testing goodness–of–fit to the logistic distribution. Our results are helpful in deciding which specific test a potential practitioner should apply. For the celebrated BHEP and energy tests for normality we obtain novel efficiency results, with some of them in the multivariate case, while in the case of the logistic distribution this is the first time that efficiencies are computed for any composite goodness–of–fit test.