On a fundamental optimality of the maximum likelihood estimator

DOI10.1016/0167-7152(86)90061-1zbMath0605.62012MaRDI QIDQ1083784

Ping Cheng, James C. Fu

Publication date: 1986

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(86)90061-1

zbMATH Keywords

maximum likelihood estimator; exponential family; consistent estimator; Bahadur bound; rate of exponential convergence

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62F10: Point estimation

Related Items

Weak convergence and the exponential rate of concentration for posterior density functions, Conditions for the insensitivity of the Bayesian posterior distribution to the choice of prior distribution, On large deviation expansion of distribution of maximum likelihood estimator and its application in large sample estimation, Optimal convergence rates and asymptotic efficiency of point estimators under truncated distribution families

Cites Work

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• Minimum chi-square, not maximum likelihood!
• Large sample point estimation: A large deviation theory approach
• The rate of convergence of consistent point estimators
• Defining the curvature of a statistical problem (with applications to second order efficiency)
• On a theorem of Bahadur on the rate of convergence of point estimators