Parameter estimation by minimizing distance between two vectors.

Hi, I have two vectors of moments - empirical moments (which I got from data) and theoretical moments (which I got from simulation). I need to estimate parameters for which the distance between these two sets of moments is minimum. My objective function should take the form of f = (theoretical moments-empirical moments)^2 I'm new to Matlab and looking for a code to estimate the parameters. Thanks in advance.

[Rik]

Have a read here and here. It will greatly improve your chances of getting an answer.

[Nusrat Jahan]

Thank you very much for the suggestions.

Answer 1

[Torsten]

If you have a function depending on certain parameters to calculate the theoretical moments, you can use a fitting tool (e.g. "lsqcurvefit") to estimate these parameters.

Look up the examples for "lsqcurvefit" on how to do this.

Best wishes

Torsten.

[Nusrat Jahan]

Thank you. But I don't have any equation constructed by parameters. My objective function contains two vectors of moments.

[Torsten]

But you wrote that the theoretical moments are calculated with the help of parameters you are trying to estimate ...

Best wishes

Torsten.