Comparison of Methods---I

• A large number of tests are described in first reference to this section. Choose three distributions.

  Let N = Gaussian Distribution with .

  C = Cauchy.

  M = Gaussian uniform random variable between 0 and 1.

• Here is a sample of their results for 10 observations

• The above table gives variances in units of which I am not certain; but the relative values within a column are independent of this.