Abstract

The log-likelihood function (LLF) of the single (location) parameter Cauchy distribution can exhibit up to n relative maxima, where n is the sample size. To compute the maximum likelihood estimate of the location parameter, previously published methods have advocated scanning the LLF over a suf-ficiently large portion of the real line to locate the absolute maximum. This note shows that, given an easily derived upper bound on the second derivative of the negative LLF, Brent's univariate numerical global optimization method can be used to locate the absolute maximum among several relative maxima of the LLF without performing an exhaustive search over the real line.

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