Advances and Applications in Statistics
Volume 10, Issue 1, Pages 1 - 14
(October 2008)
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SOME NEW RESULTS CONCERNING THE EFFICIENCY OF THE METHOD OF MOMENTS ESTIMATORS FOR THE LOCATION PARAMETER CASE
George Tzavelas (Greece)
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Abstract: In this
paper, we study the efficiency of the method of moments estimators for the
location parameter and prove that the use of lower moments, results in more
efficient estimators compared to the moments obtained with the use of higher
moments. For the Normal distribution the loss of efficiency for the estimation
of the location parameter with the method of moments tends to zero as the
parameter increases to infinity. A case where the optimal estimating function
generated by the moments preserves the location parameter structure is studied. |
Keywords and phrases: location parameter, estimating function, asymptotic efficiency. |
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