Integrated squared error estimation of Cauchy parameters
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.
Volume (Year): 55 (2001)
Issue (Month): 4 (December)
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- Junjiro Ogawa, 1960. "Determination of optimum spacings for the estimation of the scale parameter of an exponential distribution based on sample quantiles," Annals of the Institute of Statistical Mathematics, Springer, vol. 12(2), pages 135-141, June.
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