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On moment convergence of sample quantiles with application to parameter estimations for Cauchy distribution
AIMS Mathematics 2025, 10(12): 30942-30967
Published: 31 December 2025
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Under a general condition on continuous probability distributions of some populations, this study establishes that the distributional convergence of sample quantiles implies moment convergence. As an application, we propose a quick and robust consistent estimator for the shape parameter of the Cauchy distribution under large-sample conditions. This estimator achieves over 99% efficiency relative to the maximum likelihood estimator.

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