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.
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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;The Institute of Statistical Mathematics, vol. 12(2), pages 135-141, June.
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