In An Introduction to Mathematical Statistics by Bijma, Jonker and Van Der Vaart. It is stated (page 73) that: "In practice, we prefer the method of moments estimator given by taking j as small as possible." Here j was denoting the moment. However, it is not explained why. Is it because this would result in lower MSE? Or that it is usually easier computationally?
2026-04-01 14:25:04.1775053504
Why is the lowest moment prefered in the method of moments estimator
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