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Efficient Likelihood Estimators
Authors:E. L. Lehmann
Affiliation:University of California , Berkeley , CA , 94720 , USA
Abstract:If X 1, …, X n are identically and independently distributed, then as n ? ∞, there exists under suitable regularity conditions a sequence of solutions of the likelihood equation that is consistent and asymptotically efficient. However, this consistent solution is not necessarily the maximum likelihood estimate. Likelihood estimation should therefore emphasize the determination of a consistent sequence of solutions of the likelihood equations rather than maximizing the likelihood. The issues are illustrated on some examples.
Keywords:Maximum likelihood  Consistency  Asymptotic efficiency  One-step approximation  Multiparameter exponential family  Multivariate normal distribution
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