Integrated squared error estimation of Cauchy parameters

被引：17

作者：

Besbeas, P ^{[1
]}

Morgan, BJT ^{[1
]}

机构：

[1] Univ Kent, Inst Math & Stat, Canterbury CT2 7NF, Kent, England

来源：

STATISTICS & PROBABILITY LETTERS | 2001年 / 55卷 / 04期

关键词：

Cauchy distribution; efficiency; influence function; integrated squared error; k-L method; maximum likelihood; robustness;

D O I：

10.1016/S0167-7152(01)00153-5

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：397 / 401

页数：5

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