Besbeas, P.T. and Morgan, B.J.T. (2001) Integrated Squared Error Estimation of Cauchy Parameters. Statistics & Probability Letters, 55 (4). pp. 397-401. ISSN 0167-7152 .
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| Official URL http://dx.doi.org/10.1016/S0167-7152(01)00153-5 |
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. (C) 2001 Elsevier Science B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled keywords: | Cauchy distribution; Efficiency; Influence function; Integrated squared error; k-L method; Maximum likelihood; Robustness |
| Subjects: | Q Science > QA Mathematics (inc Computing science) |
| Divisions: | Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science > Statistics |
| Depositing User: | Judith Broom |
| Date Deposited: | 30 Oct 2008 20:22 |
| Last Modified: | 14 Jan 2010 14:25 |
| Resource URI: | http://kar.kent.ac.uk/id/eprint/6765 (The current URI for this page, for reference purposes) |
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