FindDistributionParameters
(and EstimatedDistribution
) can use "MethodOfMoments"
as its ParameterEstimator
, but as far as I can tell it still requires you to give it the full observed data as its first argument. If I have the moments, but not the full data, is there any way to just pass the observed moments directly to FindDistributionParameters
? Or do I have to write down the system of equations for the moments myself and then use FindRoot
?
1 Answer
There is an add-on for Mathematica, called MathStatica, which does exactly what you want, if I understood you right.
Find an example on www.mathstatica.com/examples and click on the left side on the item "Person Fitting." Ths is an excellent add-on which fits seamless into mma and extends its statistical capabilities.
Best regards Volker
-
$\begingroup$ I was looking for something that would try to fit an arbitrary parametric form with an arbitrary number of free parameters (matching the number of moments). $\endgroup$ Dec 10, 2014 at 17:44
FindDistributedParameters
on the data you have generated. $\endgroup$ParameterEstimator
in any case though. $\endgroup$