O'Reilly logo

Probability and Stochastic Processes by Ionut Florescu

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

8.4 The Method of Moments

The method of moments is a very simple idea. Suppose that we observe c08-math-0352 from a distribution c08-math-0353, where c08-math-0354 is the vector of parameter which may be d dimensional. The idea of this method is to match the empirical moments estimated from data with theoretical moments calculated using the distribution c08-math-0356.

Obviously, the theoretical moments will need to exist, and one needs a minimum of d moments to obtain d equations to be able to estimate all the components of the parameter vector c08-math-0359. An example of a distribution for which this method does not work is the Cauchy distribution since it has infinite theoretical moments.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required