Integrated squared error estimation of Cauchy parameters

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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.

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Besbeas, P., & Morgan, B. J. T. (2001). Integrated squared error estimation of Cauchy parameters. Statistics and Probability Letters, 55(4), 397–401. https://doi.org/10.1016/S0167-7152(01)00153-5

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