Given a set of random numbers drawn from a continuous univariate distribution, find the distribution

Question

Given a set of real numbers drawn from a unknown continuous univariate distribution (let\'s say is is one of beta, Cauchy, chi-square, exponential, F, gamma, Laplace, log-no

Answer 1

You could try using the Kolmogorov-Smirnov tests (ks.test in R).

If you have time-to-event data, here's software that does a Bayesian chi squared test against a list of common distributions to report the best fit.