Estimation

Abstract

Throughout the nineteenth century, the most commonly used statistical procedure was estimation by means of least squares. In 1894, Karl Pearson broke new ground by proposing an alternative approach: the method of moments. Of this method, Fisher, in his fundamental paper of 1922 [18] (discussed in Sect. 1.5), wrote that it is “without question of great practical utility.” On the other hand, he points out that it requires the population moments involved to be finite, and “that it has not been shown, except in the case of a normal curve, that the best values will be obtained by the method of moments.” And he asserts that “a more adequate criterion is required.” For this purpose, he proposes the method of maximum likelihood.