Integrated squared error estimation of Cauchy parameters

  • Besbeas P
  • Morgan B
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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. © 2001 Elsevier Science B.V.

Author-supplied keywords

  • Cauchy distribution
  • Efficiency
  • Influence function
  • Integrated squared error
  • Maximum likelihood
  • Robustness
  • k - L method

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Authors

  • Panagiotis Besbeas

  • Byron J T Morgan

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