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Type: Journal article
Title: Hodges-Lehmann scale estimator for Cauchy distribution
Author: Kravchuk, O.
Pollett, P.
Citation: Communications in Statistics-theory and Methods, 2012; 41(20):3621-3632
Publisher: Marcel Dekker Inc
Issue Date: 2012
ISSN: 0361-0926
Statement of
O.Y. Kravchuk, P.K.Pollett
Abstract: We draw here on the relation between the Cauchy and hyperbolic secant distributions to prove that the MLE of the scale parameter of Cauchy distribution is log-normally distributed and to study the properties of a Hodges-Lehmann type estimator for the scale parameter. This scale estimator is slightly biased but performs well even on small samples regardless of the location parameter. The asymptotic efficiency of the estimator is 98%.
Keywords: rank tests; Hodges-Lehamnn estimator; scale estimation; hyperbolic secant distribution
Rights: Copyright © Taylor & Francis Group, LLC
RMID: 0020114308
DOI: 10.1080/03610926.2011.563016
Appears in Collections:Agriculture, Food and Wine publications

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