Advances and Applications in Statistics
Volume 3, Issue 2, Pages 173 - 181
(August 2003)
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ESTIMATING THE CAUCHY LOCATION AND SCALE PARAMETERS USING EMPIRICAL CHARACTERISTIC FUNCTION
Ahmad A. Zghoul (Jordan)
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Abstract: In
this paper we use empirical characteristic
function to give estimates for the location and
scale parameters of the Cauchy distribution.
These estimates are obtained by equating the
real and imaginary parts of the empirical
characteristic function to the corresponding
real and imaginary parts of the theoretical
characteristic function of the Cauchy
distribution. The estimates are found to be
consistent and asymptotically normally
distributed. Simulations indicate that the
estimates are accurate even for small samples. |
Keywords and phrases: Cauchy parameters, characteristic function, empirical characteristic function, asymptotic distribution. |
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