A Zero Frequency Alternative Method to the Moment Method of Estimation in Finite Poison Mixtures

Journal of Statistical Computation and Simulation, Vol. 73, No.6, pp. 409-427, 2003

19 Pages Posted: 12 Nov 2007 Last revised: 23 Jan 2009

See all articles by Dimitris Karlis

Dimitris Karlis

Athens University of Economics and Business

Evdokia Xekalaki

Athens University of Economics and Business

Abstract

The method of moments (MM) has been widely used for parametric estimation, as it is often computationally simple. Our interest focuses on the case of finite Poisson mixtures.

The inefficiency of the method of moments relative to the Maximum Likelihood (ML) method is studied. Both the asymptotic efficiency as well as the small sample efficiency is examined. The case of samples that fail to lead to MM estimates is also considered.

The results discourage the use of the MM estimators for two reasons; the first is that they are inefficient relative to the ML estimators and the second is the high probability of failing to lead to valid estimates. Another method, which considers replacing the third moment by the zero frequency, is examined. This method turns out to be more efficient than the moment method and not very demanding computationally.

Keywords: Moment problem, Zero frequency method, Efficiency

Suggested Citation

Karlis, Dimitris and Xekalaki, Evdokia, A Zero Frequency Alternative Method to the Moment Method of Estimation in Finite Poison Mixtures. Journal of Statistical Computation and Simulation, Vol. 73, No.6, pp. 409-427, 2003, Available at SSRN: https://ssrn.com/abstract=1029322

Dimitris Karlis

Athens University of Economics and Business ( email )

76 Patission Street
Athens, 104 34
Greece

Evdokia Xekalaki (Contact Author)

Athens University of Economics and Business ( email )

76 Patission Street
GR-10434 Athens
Greece

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
82
Abstract Views
542
Rank
543,153
PlumX Metrics