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Integrated squared error estimation of Cauchy parameters

โœ Scribed by Panagiotis Besbeas; Byron J.T. Morgan


Book ID
104301768
Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
88 KB
Volume
55
Category
Article
ISSN
0167-7152

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โœฆ Synopsis


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


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