Moment (mathematics) | Probability distribution fitting

Method of moments (statistics)

In statistics, the method of moments is a method of estimation of population parameters. The same principle is used to derive higher moments like skewness and kurtosis. It starts by expressing the population moments (i.e., the expected values of powers of the random variable under consideration) as functions of the parameters of interest. Those expressions are then set equal to the sample moments. The number of such equations is the same as the number of parameters to be estimated. Those equations are then solved for the parameters of interest. The solutions are estimates of those parameters. The method of moments was introduced by Pafnuty Chebyshev in 1887 in the proof of the central limit theorem. The idea of matching empirical moments of a distribution to the population moments dates back at least to Pearson. (Wikipedia).

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Utility | Random variable | Moment (mathematics) | Expected value | Estimation | Decoding methods | Consistent estimator | Statistical parameter | Pafnuty Chebyshev | Statistics | Probability distribution | Hankel matrix | Bias of an estimator | Generalized method of moments