Abstract: At a superficial level, the idea of maximum likelihood must be prehistoric: early hunters and gatherers may not have used the words ``method of maximum likelihood to describe their choice of where and how to hunt and gather, but it is hard to believe they would have been surprised if their method had been described in those terms. It seems a simple, even unassailable idea: Who would rise to argue in favor of a method of minimum likelihood, or even mediocre likelihood? And yet the mathematical history of the topic shows this ``simple idea is really anything but simple. Joseph Louis Lagrange, Daniel Bernoulli, Leonard Euler, Pierre Simon Laplace and Carl Friedrich Gauss are only some of those who explored the topic, not always in ways we would sanction today. In this article, that history is reviewed from back well before Fisher to the time of Lucien Le Cam's dissertation. In the process Fisher's unpublished 1930 characterization of conditions for the consistency and efficiency of maximum likelihood estimates is presented, and the mathematical basis of his three proofs discussed. In particular, Fisher's derivation of the information inequality is seen to be derived from his work on the analysis of variance, and his later approach via estimating functions was derived from Euler's Relation for homogeneous functions. The reaction to Fisher's work is reviewed, and some lessons drawn.
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- A Survey of Maximum Likelihood Estimation
- A history of parametric statistical inference from Bernoulli to Fisher, 1713--1935
- An invariant form for the prior probability in estimation problems
- Ancillary history
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- Consistent Estimates Based on Partially Consistent Observations
- Defining the curvature of a statistical problem (with applications to second order efficiency)
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- Maximum Likelihood: An Introduction
- Maximum likelihood and decision theory
- Note on the Consistency of the Maximum Likelihood Estimate
- On Fisher's Bound for Asymptotic Variances
- On rereading R. A. Fisher
- Outline of a Theory of Statistical Estimation Based on the Classical Theory of Probability
- Principles of Statistical Inference
- Probability and Statistics
- R. A. Fisher and the fiducial argument
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- THE STATISTICAL UTILIZATION OF MULTIPLE MEASUREMENTS
- Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large
- The History of Likelihood
- The Impact of R. A. Fisher on Statistics
- The geometry of asymptotic inference. With comments and a rejoinder by the author
- The geometry of exponential families
- Thiele: Pioneer in Statistics
- Three early papers on efficient parametric estimation
- What did Fisher mean by inverse probability in 1912--1922?
Cited in
(26)- Big Bayes stories -- foreword
- Monte Carlo gradient estimation in machine learning
- Lagrange and probability theory
- Interview with Myfanwy E. Evans: entanglements on and models of periodic minimal surfaces
- Half a century of information geometry, part 1
- Clustering in Hilbert's projective geometry: the case studies of the probability simplex and the elliptope of correlation matrices
- R. A. Fisher and the making of maximum likelihood 1912--1922
- Suppression of metastasis by primary tumor and acceleration of metastasis following primary tumor resection: A natural law?
- Karl Pearson's theoretical errors and the advances they inspired
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- Analytic posteriors for Pearson's correlation coefficient
- A conversation with Stephen M. Stigler
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- Testing that a local optimum of the likelihood is globally optimum using reparameterized embeddings. Applications to wavefront sensing
- Mere Renovation is Too Little Too Late: We Need to Rethink our Undergraduate Curriculum from the Ground Up
- The double Gaussian approximation for high frequency data
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