Goodness-of-fit testing for the Cauchy distribution with application to financial modeling

Published 24 Jun 2016 in stat.ME | (1606.07610v1)

Abstract: This article deals with goodness-of-fit test for the Cauchy distribution. Some tests based on Kullback-Leibler information are proposed, and shown to be consistent. Monte Carlo evidence indicates that the tests have satisfactory performances against symmetric alternatives. An empirical application to quantitative finance is provided.

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