Cauchy or not Cauchy? New goodness-of-fit tests for the Cauchy distribution
Ebner, Bruno 1; Eid, Lena 1; Klar, Bernhard
1
1 Institut für Stochastik (STOCH), Karlsruher Institut für Technologie (KIT)
11 Institut für Stochastik (STOCH), Karlsruher Institut für Technologie (KIT)
Abstract:
We introduce a new characterization of the Cauchy distribution and propose a class of goodness-of-fit tests for the Cauchy family. The limit distribution is derived in a Hilbert space framework under the null hypothesis. The new tests are consistent against a large class of alternatives. A comparative Monte Carlo simulation study shows that the test is a good competitor for the state of the art procedures, and we apply the tests to log-returns of cryptocurrencies.
| Zugehörige Institution(en) am KIT | Institut für Stochastik (STOCH) |
| Publikationstyp | Zeitschriftenaufsatz |
| Publikationsjahr | 2022 |
| Sprache | Englisch |
| Identifikator | ISSN: 0932-5026, 1613-9798 KITopen-ID: 1000154753 |
| Erschienen in | Statistical Papers |
| Verlag | Springer |
| Vorab online veröffentlicht am | 22.12.2022 |
| Nachgewiesen in | Scopus Web of Science Dimensions |