# Questions tagged [method-of-moments]

A method of parameter estimation by equating sample and population moments then solving the equations for the unknown parameters.

48 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
43 views

### Approximating standard error that contains a parameter, by replacing the parameter with its estimate

I am a bit confused about the following step I have seen in the stats literature which seems to me a bit circular. Say you are approximating the standard error of the MoM estimate of an exponential ...
99 views

281 views

### Is it possible to calculate mutual information by moments generating functions?

I went to listen to a workshop and some audience asked the presenter how the moments can improve the mutual information. I am learning the MI(Mutual Information) and moments so don't have enough ...
188 views

### How do I apply the method of moments for estimating parameters in a sum-relationship?

We have a model relationship between three random variables like this: $$U = C + S$$ I have a ton of measurements of realizations of $U$, as well as a ton of realizations of $C$. But the ...
976 views

47 views

### Asymptotic distribution of mme of coefficient of variation

For random sample from unif(0,1) distribution, method of moments estimator for coefficient of variation is sample mean divided by sample standard deviation. Here, coefficient of variation theta is mu/...
35 views

34 views

### Suggesting a method of moments estimator for the chance that some event happens

Let $X_i$~ $\text{Pois}(\lambda)$ be the number of breakdowns a certain ATM machine experiences in the $i^{th}$ week. $\implies$ Let $\{X_i\}_{i=1}^n$ be iid of the number of breakdowns the machine ...
21 views

### Method of moments giving super sensitive estimates

I'm trying to study a process that produces, in theory, an equilibrium distribution where the $i$th raw moment is given by: $$\mu_i = \exp(-\theta_1 \sum_{j=0}^{i-1}(1 + j\theta_2)^{-\theta_3})$$ ...
54 views

144 views

I have a pdf of a random variable that looks like image below (the support is $[-1,1]$). It is actually function of another random variable, let's say $T = aX + bY + cZ$. When I changed parameters $(a,... 0answers 503 views ### Confusion about using moment condition in a multiple regression model The very simple case assumes that we have a model like$y = a + bx + e$where the condition$cov(x,e)=0$is true. Hence one can use the relationship of the moment conditions to estimate the parameter$...
Consider $$q^{\backslash n}(\theta) = \mathcal{N}(\theta | m^{\backslash n},v^{\backslash n}I)$$ and $$f_n(\theta) = (1-w)\mathcal{N}(x_n | \theta,I) + w\mathcal{N}(x_n|0,aI)$$ Then let \hat{P}(\...