Small sample efficiency and exact fit for Cauchy regression models

The paper discusses regression estimators with optimal finite sample performance under a Cauchy or a Cauchy-like error distribution. It is shown that such estimators have an exact fit point of 50%. Estimators that are optimal under a Gaussian as well as a Cauchy-like error law are also discussed.

MoreLess

Year of publication:	1994
Authors:	Morgenthaler, Stephan
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 19.1994, 5, p. 381-385
Publisher:	Elsevier
Keywords:	Robustness global robustness configural polysampling conditional Cauchy inference

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005259218