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Topic: Method of moments

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	Method of moments (probability theory) - Wikipedia, the free encyclopedia
		See method of moments (statistics) for an account of a method of parameter estimation.
		In probability theory, the method of moments is a way of proving convergence in distribution by proving convergence of a sequence of moment sequences.
		Further suppose the probability distribution of X is completely determined by its moments, i.e., there is no other probability distribution with the same sequence of moments.
	en.wikipedia.org /wiki/Method_of_moments_(probability_theory) (127 words)

	1.3.6.5.1. Method of Moments (Site not responding. Last check: 2007-11-01)
		The method of moments equates sample moments to parameter estimates.
		When moment methods are available, they have the advantage of simplicity.
		The primary use of moment estimates is as starting values for the more precise maximum likelihood and least squares estimates.
	www.itl.nist.gov /div898/handbook/eda/section3/eda3651.htm (103 words)

	EMM: A Program for Efficient Method of Moments
		The Efficient Method of Moments (EMM) is a simulation-based technique for situations where the likelihood is intractable and thus likelihood-based and Bayesian inference are infeasible.
		EMM would be regarded as a minimum chi-square estimator in the statistics literature and as a generalized method of moments (GMM) estimator in the econometrics literature.
		The moment equations of the EMM estimator are based on the score vector of an auxiliary model, termed the score generator.
	www.econ.duke.edu /~get/emm.html (672 words)

	Estimation: Methods and Properties
		Generalized Method of Moments is a class of estimators, or an estimation rule, that includes OLS, GLS and IV estimators as members.
		In turn, the sample moments are then used in place of the population moments in the known system of equations.
		The method of moments is robust to the specification of the data generating process.
	isc.temple.edu /economics/notes/GenMethMom/MethMom01.HTM (1357 words)

	Method of Moments for Antenna calculations
		The "moment" is numerically the size of the current times the vector describing the little segment (length and orientation).
		While the mathematical approximate method of solving the integral form of Maxwell's equations may be justified, with appropriate considerations of convergence, very little insight into the physics of the model is to be gained from considering the approximate solution techniques.
		The method assumes the current on the structure to be given by a series of basis functions of chosen shape-distribution but of unknown amplitude and phase for each sub-part of the structure.
	www.ee.surrey.ac.uk /Personal/D.Jefferies/mmethod.html (1753 words)

	[No title]
		The Method of Moments: Discussion with Application to the Problem of Estimating the Parameters of a Mixture Distribution Method of Moments Illustrated by OLS Regression Method of Moments Applied to Instrumental Variable Regression.
		Method of Moments Applied to Instrumental Variable Regression.The same principle applies quite generally, replace unknown nonzero population values by sample values when these can be computed, and by the assumed population values, otherwise.
		The estimates b* are the generalized method of moments (GMM) for this example of instrumental variable regression with "too many instruments." We will also see in Chapter 25 that it is the two-stage least-squares estimator for a single over-identified linear structural equation which is assumed to be part of a complete system.
	www.arec.umd.edu /arec829/Chapter22.doc (3044 words)

	A numerical method of moments for solute transport in a porous medium with multiscale physical and chemical ...
		On the basis of these assumptions a general expression is derived for the covariance function of the composite field in terms of the covariance of the indicator variable and the properties of the composite materials.
		It is also shown from the case studies that the numerical method of moments is applicable to studying flow and solute transport in complex subsurface environments, especially for the uncertainty analysis.
		The calculation results of the mean total solute flux by the two methods match very well, but the variance of total solute flux obtained by the method of moments is smaller than that by the Monte Carlo method, especially for the cases with large total variances of the conductivity and sorption coefficient.
	www.agu.org /pubs/crossref/2004/2002WR001473.shtml (496 words)

	Methods of Estimation (Site not responding. Last check: 2007-11-01)
		This handout discusses three methods of estimation (method of moments, maximum likelihood, and Bayes).
		The method of moments tends to be used as a fallback when the other methods are too difficult to implement.
		This reasoning motivates the method of maximum likelihood, which states, not surprising, to choose the parameter value that maximizing the likelihood.
	www.ms.uky.edu /~viele/sta321s98/estimation/estimation.html (1649 words)

	ARMA (JMSL)
		There are two methods, method of moments and least squares, from which to choose.
		Two methods of parameter estimation, method of moments and least squares, are provided.
		If is specified, the autoregressive and moving average parameters are estimated by a method of moments procedure.
	www.vni.com /products/imsl/jmsl/v20/api/com/imsl/stat/ARMA.html (1409 words)

	Method of moments solution of volume integral equations using parametricgeometry modeling
		Method of moments solution of volume integral equations using parametricgeometry modeling
		Conformal basis functions definedin curved hexahedral finite elements are used to develop a moment method solutionof the VIE.
		Results are compared with available analytical solutions, andthe method is shown to deliver higher accuracy using coarser meshes as comparedto partial differential equation solvers.
	www.agu.org /pubs/crossref/2002/2000RS002597.shtml (170 words)

	Method of Moments
		Method of Moments for scattering by inhomogeneous body.
		A combined finite element method and method of moments (FEM/MoM) approach is used to analyse this problem.
		It is based on the method of moments for the numerical solution of integral equations for the electric field (EFIE) and the magnetic field (MFIE).
	diogenes.iwt.uni-bremen.de /vt/laser/wriedt/Method_of_Moments/body_method_of_moments.html (519 words)

	Moment method for metal plate capacitance
		The particular instance of the method of moments where the test and basis functions are the same, is called Galerkin's method.
		All numerical methods should have their convergence verified by performing additional calculations, especially when quantisation of signals or surfaces is taking place, by the user (and, preferably, by the software.) Although the simple program supplied does not do that, the modifications required are minor.
		It is interesting that the method may converge for a number of samples, and twice that number, but not for one of the numbers in between.
	www.geocities.com /CapeCanaveral/Cockpit/2119/latest/momentMethod.htm (867 words)

	Generalized method of moments, efficient bootstrapping, and improved inference. \| Marketing & Advertising > Market ...
		Generalized method of moments, efficient bootstrapping, and improved inference.
		This article presents a novel method of bootstrapping for GMM based on resampling from the empirical likelihood distribution that imposes the moment restrictions.
		The basic idea of choosing estimators to minimize a quadratic form in deviations between sample moments and population moments can be traced as far back as Pearson's (1900) chi-squared statistic and the suggestion by Smith (1916) and others of minimum chi-square (see Bera and Bilias 2002 for a survey).
	www.allbusiness.com /marketing/market-research/297755-1.html (660 words)

	Editors' introduction to JBES twentieth anniversary issue on the generalized method of moments. \| Public Administration ... (Site not responding. Last check: 2007-11-01)
		Without a doubt, this article has had a profound impact on the theory and practice of econometrics, and it seems to us that this twentieth anniversary is an appropriate opportunity to reflect on the article's influence.
		To this end, we solicited articles from leading scholars on various aspects of the generalized method of moments (GMM) literature, and the resulting works make up this special issue of the journal.
		Particularly in the latter field, the unavailability of analytical expressions for population moment conditions led to the development of simulation-based methods of estimation, including simulated method of moments, indirect inference, and efficient method of moments.
	www.allbusiness.com /public-administration/administration-economic-programs/297714-1.html (825 words)

	L Moments
		The primary use of probability weighted moments and L-moments is in the estimation of parameters for a probability distribution.
		Estimates based on probability weighted moments and L-moments are generally superior to standard moment-based estimates.
		Estimation methods based on L-moments are discussed in the papers listed in the Reference section below (Dataplot generates L-moment based estimates for the maximum likelihood estimates for the generalized Pareto and the generalized extreme value distributions).
	www.itl.nist.gov /div898/software/dataplot/refman2/auxillar/lmoment.htm (582 words)

	Maxwell's Primer Part VI (Site not responding. Last check: 2007-11-01)
		he Method of Moments has become one of the most powerful tools in the RF engineers arsenal.
		In this article, we make the transition from theory to practice, first by using classical methods to compute the characteristics of a short dipole, and then by demonstrating that a computer can achieve the same thing in just a few seconds.
		In words, rather than numbers and symbols, here’s what the equation means: We can calculate the electric field at every point in space by calculating the gradient of the voltage and the time derivative of the vector potential.
	www.conformity.com /0001emc.html (1596 words)

	SSRN-Generalized Method of Moments for Samples of Unequal Length by Anthony Lynch, Jessica Wachter
		This paper extends the generalized method of moments technique of Hansen (1982) to cases where moment conditions are observed over different sample periods.
		Common practice is to take the intersection of the sample periods over which the data are observed; the intersection then becomes the sample period for the study and the rest of the data are ignored.
		The second uses the non-overlapping segment of the data available for the full-sample moments to form an additional set of moment conditions.
	papers.ssrn.com /sol3/papers.cfm?abstract_id=649422 (419 words)

	Publications of the SPACES team
		A heuristic method is presented to simplify the output disjunction of polynomial equations and inequations.
		It is shown that these methods may be combined for automatically studying the number of admissible real solutions of a polynomial system depending on parameters; this study provides as output a description of this number as a function of the parameters.
		The methods and their efficiency are illustrated by fully worked out examples and their applications to selected problems such as from polynomial ideal theory, automated theorem proving in geometry and the qualitative study of differential equations.
	www-calfor.lip6.fr /~safey/Spaces/publications.html (13078 words)

	Linear General Method of Moments (GMM)
		Module GMM (General Method of Moments) estimates a system of linear (regression) equations with possibly common parameters.
		The latter is preferred, because (loosely speaking) the more moment restrictions, the better the efficiency of the GMM estimators.
		As explained in my lecture note on the Method of Moments, the instrumental variables for equations 1 and 2 are, respectively,
	econ.la.psu.edu /~hbierens/EasyRegTours/GMM.HTM (1590 words)

	EMM: A Program for Efficient Method of Moments Estimation: Version 1.5 User's Guide - Gallant (ResearchIndex) (Site not responding. Last check: 2007-11-01)
		The term EMM refers to Efficient Method of Moments.
		Gallant, A. Ronald, and Tauchen, George, "EMM: A Program for Efficient Method of Moments Estimation," 1997c, available via ftp to ftp.econ.duke.edu, subdirectory pub/get/emm.
		31 A Method of Simulated Moments for Estimation of Discrete Res..
	citeseer.ist.psu.edu /gallant00emm.html (654 words)

	Amazon.co.uk: Generalized Method of Moments Estimation (Themes in Modern Econometrics): Books: Laszlo Matyas (Site not responding. Last check: 2007-11-01)
		The generalized method of moments (GMM) estimation has emerged over the last decade as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions.
		The principal objective of this volume, the first devoted entirely to the GMM methodology, is to offer a complete and up to date presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies.
		The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.
	www.amazon.co.uk /exec/obidos/ASIN/0521669677 (463 words)

	method of moments and integration
		i'm learning the method of moments and i'm not understanding on how to do it.
		to find the method of moments estimate for theta.
		That is equal to the mean, or first moment, and corresponds to the integral you give above.
	www.physicsforums.com /showthread.php?t=72281 (337 words)

	Generalized Method of Moments Estimation - Cambridge University Press
		Introduction to the generalized method of moments estimation David Harris and László Mátyás; 2.
		Alternative GMM methods for nonlinear panel data models Jörg Breitung and Michael Lechner; 10.
		Simulation based method of moments Roman Liesenfeld and Jörg Breitung; 11.
	www.cambridge.org /catalogue/catalogue.asp?isbn=0521669677 (343 words)

	Amazon.fr : Generalized Method of Moments: Livres en anglais: Alastair Hall (Site not responding. Last check: 2007-11-01)
		Generalized Method of Moments (GMM) has become one of the main statistical tools for the analysis of economic and financial data.
		This book is the first to provide an intuitive introduction to the method combined with a unified treatment of GMM statistical theory and a survey of recent important developments in the field.
		misspecification, moment selection, the use of the bootstrap, and weak instrument asymptotics.
	www.amazon.fr /Generalized-Method-Moments-Alastair-Hall/dp/0198775202 (336 words)

	Karl Pearson: A Reader's Guide (Main document)
		This presented the scientific method as “the orderly classification of facts followed by the recognition of their relationship and recurring sequences.” His achievements as an applied mathematician were recognised when he was elected to the
		Pearson realised that the methods he had devised for biometry had other uses and he and his collaborators applied them to all manner of subjects.
		Mensch (1980) Fisher and the Method of Moments, pp.
	www.economics.soton.ac.uk /staff/aldrich/main.htm (4760 words)

	Documentation for lmoments — PCMDI Software Portal
		Fortran routines for use with the method of L-moments,
		the "method of L-moments" estimates of the parameters.
		using an index-flood procedure and the method of L-moments.
	www-pcmdi.llnl.gov /software-portal/cdat/contrib/lmomentsdoc (692 words)

	SSRN-Robust Efficient Method of Moments by Fabio Trojani, Claudio Ortelli
		This paper focuses on the robust Efficient Method of Moments (EMM) estimation of a general parametric stationary process and proposes a broad framework for constructing robust EMM statistics in this context.
		We then show by Monte Carlo simulation that our REMM estimators are very successful in controlling for the asymptotic bias under model misspecification while maintaining a high efficiency under the ideal structural model.
		Trojani, Fabio and Ortelli, Claudio, "Robust Efficient Method of Moments" (September 2002).
	papers.ssrn.com /sol3/papers.cfm?abstract_id=335700 (258 words)

	Generalized method of moments
		The results will be very similar to OLS regression results except for error homscedasticity and no auto correlation in errors.
		I guess this can be a problem especially if GMM's inversion method involves submatrices, some of which can be a zero matrix because there are too many zeroes overall.
		A colleague of mine wrote his Ph.D. thesis on this subject (inverting sparse matrices during estimation of regression equations), so I guess that this can be a problem for many people.
	www.physicsforums.com /showthread.php?t=84874 (1345 words)

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