Information in a Cauchy Sample
Ten independent observations come from the Cauchy distribution with density f(x; θ) = 1/(π(1 + (x − θ)²)), where the location θ is unknown. Using the Fisher information of the sample, what is the Cramér-Rao lower bound on the variance of any unbiased estimator of θ? Give a reduced fraction.
Related problems & prerequisites
Worth solving first
Source: Standard Fisher-information computation for the Cauchy location family; statement written for AxiomIQ.