A simple robust estimation for parameters of Cauchy distribution

Sándor Fegyverneki
2013 Miskolc Mathematical Notes  
We define robust estimators for the parameters of the Cauchy distribution based on the probability integral method. The proposed estimators have bounded influence functions and high breakdown points. These estimators are simple, robust and consistent, but asymptotically less efficient than the maximum likelihood estimators which are not robust. A simulation study for finite sample size shows that the efficiency of these robust estimators is rather similar to the maximum likelihood ones.
doi:10.18514/mmn.2013.830 fatcat:n4ehxccdqbatff5bioowcemxyu