Method of Moments

Bruce G. Lindsay,

Bruce G. Lindsay

Penn State University, University Park, PA, USA

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Bruce G. Lindsay,

Bruce G. Lindsay

Penn State University, University Park, PA, USA

Search for more papers by this author

First published: 15 July 2005

https://doi.org/10.1002/0470011815.b2a15089

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Abstract

This is a method for obtaining point estimators of parameters, by solving a set of equations that equate a number of sample moments to their expectations. The method is consistent but inefficient. Topics considered here include the extension to multivariate data, the generalized and least squares methods of moments, distribution theory, and various specific examples.

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