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Thread: Variance of Method of Moments Estimator

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    Variance of Method of Moments Estimator




    Attached is a portion of my stats textbook.

    Can someone explain how the approximation at the bottom was obtained?
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    I believe this is the "delta method". It is derived from Taylor expansion:

    mu(T) = mu(theta) + (T-theta)*mu'(theta) (approx.)

    so that:

    Var[mu(T)] = Var(T)*[mu'(theta)]^2 (approx.)

    theta and mu(theta) are constants.

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