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 |