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A dynamic method of moments

 

作者: U. Kormann,   R. Theodorescu,   H. Wolff,  

 

期刊: Statistics  （Taylor Available online 1987）
卷期: Volume 18, issue 1  

页码: 131-140

 

ISSN:0233-1888

 

年代: 1987

 

DOI:10.1080/02331888708802002

 

出版商: Akademie-Verlag

 

关键词: Primary 62L20;secondary 62L12;62M20;Sequential estimation;stochastic approximation;central moment;covariance;trent;forecasting

 

数据来源: Taylor

 

摘要:

A sequence of univariate or multivariate independent random variables is considered and the problem of estimating their central moments and covariances, is examined. The estimators are based on previous observations and on the assumption that the quantities to be estimated follow unknown trends of a specified form. Convergence in quadratic mean is proved and the corresponding rate of convergence is evaluated. The results obtained are used in order to propose a dymanic method of moments for a time-dependent population.

 

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