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How many moments can be estimated from a large sample?

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  • Kagan, Abram
  • Nagaev, Sergei

Abstract

Under general conditions on a population, it is proved that the number of population moments that can be simultaneously consistently estimated by the corresponding sample moments in a large sample of size n is roughly (log n)/(2 loglog n) and this order is rather sharp.

Suggested Citation

  • Kagan, Abram & Nagaev, Sergei, 2001. "How many moments can be estimated from a large sample?," Statistics & Probability Letters, Elsevier, vol. 55(1), pages 99-105, November.
  • Handle: RePEc:eee:stapro:v:55:y:2001:i:1:p:99-105
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    Keywords

    Large sample Moments Consistency;

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