I have generated 2 columns of normal random variables, Z1 and Z2. Theorectically, Z1/Z2 will follow a Cauchy distribution. The question is, how do I construct a probability plot to show that indeed it is a Cauchy distribution?(adsbygoogle = window.adsbygoogle || []).push({});

I tried the follow procedure:

-Sort the Z1/Z2

-Rank them and store the rank on a new column, i

-perform median rank (herd-Johnson) i/n+1 where n is the sample size

-perform inverse cumulative probability on the median rank column

-plot the z1/z2 vs inverse cumulative probability

What i get is near the location, the data are linear while the deviation is serious at either extreme ends. any suggestion? or references?

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# Probability plot for Cauchy Distribution

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