Skip to main content
Cross Validated

Return to Question

Tweeted twitter.com/StackStats/status/797621654381858816
clarified question in title; removed thanks
Source Link
gung - Reinstate Monica
gung - Reinstate Monica
  • 147.5k
  • 89
  • 406
  • 717

how How to implement GMMthe Generalized Method of Moments for the upper limit of a uniform?

Suppose $\{Y_1,\ldots,Y_n\}$ are iid uniform on $[0,\theta]$ where $\theta$ is the unknown parameter.

I'm trying to understand how to create a GMM estimator for $\theta$ and I'm not really sure how. I know I can use $E(Y-\frac{\theta}{2}) = E(Y^2 - \frac{\theta^2}{3})=0$ but once again I'm confused as to how to create an efficiently weighted GMM estimator.

Thanks!

how to implement GMM?

Suppose $\{Y_1,\ldots,Y_n\}$ are iid uniform on $[0,\theta]$ where $\theta$ is the unknown parameter.

I'm trying to understand how to create a GMM estimator for $\theta$ and I'm not really sure how. I know I can use $E(Y-\frac{\theta}{2}) = E(Y^2 - \frac{\theta^2}{3})=0$ but once again I'm confused as to how to create an efficiently weighted GMM estimator.

Thanks!

How to implement the Generalized Method of Moments for the upper limit of a uniform?

Suppose $\{Y_1,\ldots,Y_n\}$ are iid uniform on $[0,\theta]$ where $\theta$ is the unknown parameter.

I'm trying to understand how to create a GMM estimator for $\theta$ and I'm not really sure how. I know I can use $E(Y-\frac{\theta}{2}) = E(Y^2 - \frac{\theta^2}{3})=0$ but once again I'm confused as to how to create an efficiently weighted GMM estimator.

Source Link
Kashif
Kashif
  • 517
  • 3
  • 15

how to implement GMM?

Suppose $\{Y_1,\ldots,Y_n\}$ are iid uniform on $[0,\theta]$ where $\theta$ is the unknown parameter.

I'm trying to understand how to create a GMM estimator for $\theta$ and I'm not really sure how. I know I can use $E(Y-\frac{\theta}{2}) = E(Y^2 - \frac{\theta^2}{3})=0$ but once again I'm confused as to how to create an efficiently weighted GMM estimator.

Thanks!