The Density of the Maximum Likelihood Estimator.

Journal article

In this paper we give a formula for the exact density of the MAXIMUM LIKELIHOOD ESTIMATOR (MLE) under regularity conditions that also has this property, and thus provide a means for obtaining (at least in principle) exact results even in cases where the estimator is only implicitly defined by the usual likelihood equations. Such an analysis has hitherto been inaccessible by standard exact distribution-theoretic methods. The argument is readily extended to estimators other than the MLE method of moments estimators, for example, although we do not pursue that extension here.

Authors: Hillier, G; Armstrong, M

• Journal: Econometrica
• Volume: 67
• Issue: 6
• Pages: 1459 - 1470
• Publication date: 1999-01-01
• DOI: 10.1111/1468-0262.00086
• ISSN: 0012-9682
• Language: English