Goodness-of-fit testing for the Cauchy distribution with application to financial modeling
classification
📊 stat.ME
keywords
applicationcauchydistributiongoodness-of-fittestsalternativesarticlecarlo
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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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