Cauchy or not Cauchy? New goodness-of-fit tests for the Cauchy distribution

06/24/2021

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by   Bruno Ebner, et al.

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We introduce a new characterization of the Cauchy distribution and propose a class of goodness-of-fit tests to the Cauchy family. The limit distribution is derived in a Hilbert space framework under the null hypothesis and under fixed alternatives. The new tests are consistent against a large class of alternatives. A comparative Monte Carlo simulation study shows that the test is competitive to the state of the art procedures, and we apply the tests to log-returns of cryptocurrencies.