As a matter of fact, the statistical literature lacks of general family of distributions based on the truncated Cauchy distribution. In this paper, such a family is proposed, called the truncated Cauchy power-G family. It stands out for the originality of the involved functions, its overall simplicity and its desirable properties for modelling purposes. In particular, (i) only one parameter is added to the baseline distribution avoiding the over-parametrization phenomenon, (ii) the related probability functions (cumulative distribution, probability density, hazard rate, and quantile functions) have tractable expressions, and (iii) thanks to the combined action of the arctangent and power functions, the flexible properties of the baseline distribution (symmetry, skewness, kurtosis, etc.) can be really enhanced. These aspects are discussed in detail, with the support of comprehensive numerical and graphical results. Furthermore, important mathematical features of the new family are derived, such as the moments, skewness and kurtosis, two kinds of entropy and order statistics. For the applied side, new models can be created in view of fitting data sets with simple or complex structure. This last point is illustrated by the consideration of the Weibull distribution as baseline, the maximum likelihood method of estimation and two practical data sets wit different skewness properties. The obtained results show that the truncated Cauchy power-G family is very competitive in comparison to other well implanted general families.
Keywords: Cauchy distribution; data analysis; entropy; estimation; general family of distributions; ranked set sampling; simple random sampling; truncated distribution.