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Order Statistics Estimators of the Location of the Cauchy Distribution

 

作者: V.D. Barnett,  

 

期刊: Journal of the American Statistical Association  (Taylor Available online 1966)
卷期: Volume 61, issue 316  

页码: 1205-1218

 

ISSN:0162-1459

 

年代: 1966

 

DOI:10.1080/01621459.1966.10482205

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

In a recent paper in this Journal, Rothenberg, Fisher and Tilanus [1] discuss a class of estimators of the location parameter of the Cauchy distribution, taking the form of the arithmetic average of a central subset of the sample order statistics. They show that the average of roughly the middle quarter of the ordered sample has minimum asymptotic variance within this class, and that asymptotically it eliminates about 36 per cent of the efficiency loss of the median (the most commonly used estimator) in comparison to the maximum likelihood estimator (m.l.e.). Of course both the m.l.e. and the best linear unbiased estimator based on the order statistics (BLUE) achieve full asymptotic efficiency in the Cramér-Rao sense and there can be no dispute about the relative merits of the three estimators asymptotically, or about the inferiority of the median (with asymptotic efficiency 8/π2ė 0.8 compared with about 0.88 for the estimator of Rothenberg et al.).

 

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