Integrated squared error estimation of Cauchy parameters

Panagiotis Besbeas and Byron J. T. Morgan

Statistics & Probability Letters, 2001, vol. 55, issue 4, 397-401

Abstract: We show that integrated squared error estimation of the parameters of a Cauchy distribution, based on the empirical characteristic function, is simple, robust and efficient. The k-L estimator of Koutrouvelis (Biometrika 69 (1982) 205) is more difficult to use, less robust and at best only marginally more efficient.

Keywords: Cauchy; distribution; Efficiency; Influence; function; Integrated; squared; error; k-L; method; Maximum; likelihood; Robustness (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (8)

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