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On a formula for the distribution of the maximum likelihood estimator. (English) Zbl 0532.62006

A formula for the conditional distribution of the maximum likelihood estimator given a maximal ancillary statistic is discussed which is generally accurate to order \(O(n^{-1})\) or even \(O(n^{-3/2})\). It is also exact under certain cases. A generalization of the formula is also given.
Reviewer: V.P.Gupta

MSC:

62E15 Exact distribution theory in statistics
62F10 Point estimation
62E20 Asymptotic distribution theory in statistics
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