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arXiv · 2104.06130

Characterizations of the maximum likelihood estimator of the Cauchy distribution

Kazuki Okamura·Yoshiki Otobe
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Abstract

This paper gives a new approach for the maximum likelihood estimation of the joint of the location and scale of the Cauchy distribution. We regard the joint as a single complex parameter and derive a new form of the likelihood equation of a complex variable. Based on the equation, we provide a new iterative scheme approximating the maximum likelihood estimate. We also handle the equation in an algebraic manner and derive a polynomial containing the maximum likelihood estimate as a root. This algebraic approach provides another scheme approximating the maximum likelihood estimate by root-finding algorithms for polynomials, and furthermore, gives non-existence of closed-form formulae for the case that the sample size is five. We finally provide some numerical examples to show our method is effective.

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Kazuki Okamura, Yoshiki Otobe. 2021-04-13. Characterizations of the maximum likelihood estimator of the Cauchy distribution. https://doi.org/10.1134/s1995080222120216

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