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X / n.
i 1 i 1
BITS Pilani, Pilani Campus
Method of moments
n
X ik
1) Use estimators M k
i 1 n
X
pˆ .
n
BITS Pilani, Pilani Campus
Example 7.2.2
Let X1, … , Xn be a random sample from
a gamma distribution with parameters ,
. Find method of moments estimators
for , .
Using E[X]= , E[X2]-(E[X])2 = 2, we
get
ˆ M2 M 2
M 2
, ˆ
1 1
.
M1 M 2 M12
( )n e i 1
2
n
1
ln (L( µ, )) n ln( 2 ) n ln( )
2 2
i
( x
i 1
) 2
L ( , ) (X i )
i 1
0
L( , ) 2
L ( , ) n ( Xi )
n 2
0
L( , ) i 1 3
Thus L ( ˆ , ˆ ) 0, L ( ˆ , ˆ ) 0 gives
n
(X i X) 2
ˆ X , ˆ 2 i 1
.
n BITS Pilani, Pilani Campus
The method of moments estimator for a
parameter and the maximum likelihood
estimator often agree. However, if they do
not, the maximum likelihood estimator is
usually preferred.