A family of goodness-of-fit tests for the Cauchy distribution

Agnieszka Pudełko

Abstrakt

A new family of goodness-of-fit test for the Cauchy distribution is proposed in the paper. Every member of this family is affine invariant and consistent against any non Cauchy distribution. Results of the Monte Carlo simulations performed to verify finite sample behaviour of the new tests are presented.

Słowa kluczowe: Cauchy distribution, goodness-of-fit test, empirical characteristic function