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Let X1, X2, . . . Xn be iid exponential random variables with unknown mean β....

Let X1, X2, . . . Xn be iid exponential random variables with unknown mean β. Find the method of moments estimator of β

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Answer #1

We are given that X1, X2, . . . Xn are i.i.d. exponential random variables with unknown mean β. Thus, the population mean of Xi's (i=1,2,...,n) is given by:

Moreover, the sample mean is given by:

Now, under method of moments, we equate the sample moments to the corresponding population moments to find the method of moments estimator of unknown parameters (here the unknown parameter is β). Since, we have to find the estimator of only one parameter, we equate the sample mean to the population mean and we get:

Thus, the method of moments estimator of β is given by:

For any queries, feel free to comment and ask.

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