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In convex exponential families of distributions, it is shown that, for the maximum likelihood estimator \\({\\hat \\theta}_ n\\) of \\(\\theta\\), g(\\({\\hat \\theta}_ n)\\) is inaccuracy rate optimal in the sense of g(\\({\\hat \\theta}_ n)\\) attaining the upper bound of \\(e(\\epsilon,\\theta,T_ n)\\) for consistent estimators of g(\\(\\theta)\\). In the case when a family of distributions is not exponentially convex, inaccuracy rate optimal estimators do not usually exist.    The optimality w.r.t. the inaccuracy rate is based on propositions by \\textit{R. R. Bahadur}, \\textit{S. L. Zabell} and \\textit{J. C. Gupta} [Asymptotic theory of statistical tests and estimation, Proc. Int. Symp., Chapel Hill/NC 1979, 33-64 (1980; Zbl 0601.62037)] and \\textit{R. R. Bahadur} [Recent advances in statistics, Pap. in Honor of H. Chernoff, 273-286 (1983; Zbl 0543.62064)]. In location parameter cases, the inaccuracy rate of M-estimators is determined, and an optimal M-estimator is given in the class of equivariant estimators. 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