Integrated squared error estimation of Cauchy parameters

✍ 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
• DOI: 10.1016/s0167-7152(01)00153-5

✦ 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.