How Do You Calculate Standard Errors for Method of Moments and MLE Estimates?

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SUMMARY

The discussion focuses on calculating standard errors for Method of Moments (MoM) and Maximum Likelihood Estimation (MLE) estimates of the parameter y in a discrete random variable distribution. The MoM estimate of y is determined to be 5/12, while the MLE estimate is 0.5. The user seeks clarification on how to approximate the standard errors for these estimates, specifically noting the need for an adjustment for sample size in their calculations. The conversation highlights the importance of correctly applying statistical methods to derive accurate standard error estimates.

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  • Understanding of discrete random variables and their probability distributions
  • Familiarity with Method of Moments (MoM) and Maximum Likelihood Estimation (MLE)
  • Knowledge of standard error calculations in statistics
  • Basic statistical software proficiency for data analysis
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  • Research the derivation of standard errors for Method of Moments estimates
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Statisticians, data analysts, and researchers involved in statistical modeling and estimation who need to understand standard error calculations for MoM and MLE estimates.

sweetpotatofr
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Hi, I have a question about standard errors in the context of this problem. Any help would be greatly appreciated:

Suppose X is a discrete random variable with

P(X=0) = 2y/3
P(X=1) = y/3
P(X=2) = 2(1-y)/3
P(X=3) = (1-y)/3

Where 0<=y<=1. The following 10 independent observations were taken from such a distribution: (3,0,2,1,3,2,1,0,2,1).

Find the method of moments estimate of y, an approximate standard error for your estimate, the MLE of y, and an approximate standard error of the MLE.
----

I have found the method of moments estimate of y (5/12) and the MLE (.5) but I'm not sure how to go about approximating the standard errors. What I initially did for the SE of the first estimate was to calculate the different y's based on the observed probabilities of the X's, then add the squared differences between them and 5/12, divide by 4, and take the squared root, but that doesn't seem quite right. Sorry to ask such an elementary question, but I'm really puzzled as to how to do this. Thanks in advance!
 
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What you are missing is an adjustment for the sample size.
 

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