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Method of Conditional Moments Based on Incomplete Data

Yan Lu, Naisheng Wang


This paper extends the traditional methods of moments to incomplete sample cases. This method is termed as the method of conditional moments since it is obtained via conditioning on observed data. The convergence and asymptotic normality of the conditional moment estimator are investigated under certain conditions. An iterative algorithm is proposed to solve the conditional moment equations. Examples show that the proposed method performs well for incomplete data.


Asymptotic normality, Censored sample, Conditional moment estimator, Convergence, Grouped sample.

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