Integrated squared error estimation of C
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Panagiotis Besbeas; Byron J.T. Morgan
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Article
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2001
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Elsevier Science
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English
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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 mor