In the Cauchy runs to test nonparametric confidence band, the cdf the code uses to compare the cdf is from the normal distribution, not the cauchy distribution as it should be. This leads to many more instances of the actual cdf being outside the confidence band.
In the Cauchy runs to test nonparametric confidence band, the cdf the code uses to compare the cdf is from the normal distribution, not the cauchy distribution as it should be. This leads to many more instances of the actual cdf being outside the confidence band.