Herman Rubin wrote:
>
> In article <a5daqb$72k$[EMAIL PROTECTED]>,
> Chia C Chong <[EMAIL PROTECTED]> wrote:
> >Hi!
>
> >Does anyone come across some Matlab code to estimate the parameters for the
> >Cauchy PDF?? Or some other sources about the method to estimate their
> >parameters??
>
> What is so difficult about maximum likelihood? Start with a
> reasonable estimator, and use Newton's method.
There are difficulties with Newton's method (and many other
hill-climbing
techniques) because the cauchy likelihood function is generally
multimodal.
You can end up somewhere other than the MLE unless you use a somewhat
more
sophisticated starting point than "a reasonable estimator". There are
good
estimators that can start you off very close to the true maximum, but
it's
a long time since I've seen that literature, so I can't name names right
now.
Glen
=================================================================
Instructions for joining and leaving this list, remarks about the
problem of INAPPROPRIATE MESSAGES, and archives are available at
http://jse.stat.ncsu.edu/
=================================================================
