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On the density of the maximum likelihood estimator

Hillier, G.; Armstrong, M.; (1996) On the density of the maximum likelihood estimator. (Discussion Paper Series In Economics And Econometrics 9645). Economics Division, University of Southampton: Southampton, UK.

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Abstract

In this paper we derive an expression for the exact density of the maximum likelihood estimator (MLE) in the case where the MLE is uniquely defined at each point in the sample space by the vanishing of the score vector.

Type: Working / discussion paper
Title: On the density of the maximum likelihood estimator
Publisher version: http://www.southampton.ac.uk/socsci/economics/rese...
Language: English
Additional information: Please see http://eprints.ucl.ac.uk/15105/ for details of a version published in Econometrica
Keywords: JEL classification: C30, C51
UCL classification: UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of SandHS > Dept of Economics
URI: http://discovery.ucl.ac.uk/id/eprint/15055
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