Feasibility of the Method of Moment Estimators
PENNSYLVANIA STATE UNIV UNIVERSITY PARK CENTER FOR MULTIVARIATE ANALYSIS
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In this paper we consider the problem of feasibility of the method of moment estimators. We consider three different distributions, namely exponential, uniform and generalized Pareto. In some cases we obtain the explicit probability of the feasible method of moment estimator and other cases we estimate it through simulations. Since the method of moment estimators are always strongly consistent, it is expected that the feasibility probability should also increase to one. But some of the counter intuitive results are obtained. In some cases it is observed that the probability may even converge to zero also.
- Statistics and Probability