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Integrated Squared Error Estimation of Cauchy Parameters

Besbeas, Panagiotis, Morgan, Byron J. T. (2001) Integrated Squared Error Estimation of Cauchy Parameters. Statistics & Probability Letters, 55 (4). pp. 397-401. ISSN 0167-7152. (doi:10.1016/S0167-7152(01)00153-5) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:6765)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
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
DOI/Identification number: 10.1016/S0167-7152(01)00153-5
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: Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science
Depositing User: Judith Broom
Date Deposited: 30 Oct 2008 20:22 UTC
Last Modified: 16 Nov 2021 09:45 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/6765 (The current URI for this page, for reference purposes)

University of Kent Author Information

Besbeas, Panagiotis.

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Morgan, Byron J. T..

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