We consider characterizations of the maximal likelihood estimator (MLE) of samples from the Cauchy distribution. We characterize the MLE as an attractive fixed point of a holomorphic map on the upper-half plane. We show that the iteration of the holomorphic function starting at every point in the upper-half plane converges to the MLE exponentially fast. We can also characterize the MLE as a unique root in the upper-half plane of a certain univariate polynomial over $\mathbb R$. By this polynomial, we can derive the closed-form formulae for samples of size three and four, and furthermore show that for samples of size five, there is no algebraic closed-form formula.
翻译:我们考虑对Cauchy分布样本的最大可能性估计值(MLE)的定性。 我们将MLE定性为上半平面全貌图的具有吸引力的固定点。 我们显示,从上半平面每个点开始的全貌函数的迭代会以指数速度快速接近 MLE 。 我们还可以将MLE 定性为某种单体多面的上半平面上方的一个独特的根。 通过这一多元诺米亚,我们可以为三、四等大小的样本得出封闭式公式, 并进一步显示,对于五等大小的样本, 不存在代数封闭式公式 。