Small sample efficiency and exact fit for Cauchy regression models

Stephan Morgenthaler

Statistics & Probability Letters, 1994, vol. 19, issue 5, 381-385

Abstract: The paper discusses regression estimators with optimal finite sample performance under a Cauchy or a Cauchy-like error distribution. It is shown that such estimators have an exact fit point of 50%. Estimators that are optimal under a Gaussian as well as a Cauchy-like error law are also discussed.

Keywords: Robustness; global; robustness; configural; polysampling; conditional; Cauchy; inference (search for similar items in EconPapers)
Date: 1994
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