发布资金信息 发布项目融资 申请上市辅导 发布金融峰会 发布文章资讯
  • 首页
  • 找项目
  • 找资金
  • 金融人才网
  • 金融峰会
  • 金融学院
  • 投融资俱乐部
  • 网站会员服
  • generalized method of moment

       时间:2018-04-25 22:35:13     浏览:203    评论:0    
    核心提示:  Generalized method of moments  From Wikipedia, the free encyclopedia  Jump to: navigation, search  GMM may also mean Gaussian mixture model.   The generalized method of moments is a very general statistical method for obtaining estimates of parameters o






      Generalized method of moments
      From Wikipedia, the free encyclopedia
      Jump to: navigation, search
      GMM may also mean Gaussian mixture model.
      The generalized method of moments is a very general statistical method for obtaining estimates of parameters of statistical models. It is a generalization, developed by Lars Peter Hansen, of the method of moments.
      The term GMM is very popular among econometricians but is hardly used at all outside of economics, where the slightly more general term estimating equations is preferred. The method is also closely related to the classical theory of minimum chi-square estimation.
      Description
      The idea of the generalized method of moments is to use moment conditions that can be found from the problem with little effort. We assume that the data are a stochastic process In mathematical language, we start out with a function f that depends both on the parameter and a single observation and that has mean zero for the true value of the parameter, θ = θ0, i.e.
      图(1)
      To turn this function into a parameter estimate, we minimize the associated chi-square statistic
      图
      where superscript T is used for transpose, and A is a matrix. A may be known a priori or estimated from the sample.
      由于技术原因图1无法上传,
      详见
      http://en.wikipedia.org/wiki/Generalized_method_of_moments
     
    打赏
     
    更多>同类金融学院
    0相关评论

    推荐图文
    推荐金融学院
    点击排行
    关于我们 | 组织结构 | 企业文化 | 办公环境 | 经营动态 | 管理团队 | 行为准则 | 投资策略 | 投资保障 | 风险控制 | 联系我们 | 微信群
    广告合作 | 友情链接 | 网站地图 | RSS订阅
    Copyright © 2006-2021 投融网 Inc. All rights reserved.
    ICP备案号:粤ICP备16012416号
    联系我们
    QQ咨询
    电话咨询
    email
    在线留言
    微信联系
    返回顶部