Abstract
An example was given by Neyman and Scott [2] to show that there are situations where the method of maximum likelihood leads to inconsistent estimators. In their example considered, the observations were supposed to be drawn from an infinite sequence of distinct populations involving an infinite sequence of nuisance parameters.
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References
Charles Kraft, “On the problem of consistent and uniformly consistent statistical procedures”, Unpublished Ph.D. thesis submitted to the University of California (1954).
J. Neyman and E. L. Scott, “Consistent estimates based on partially consistent observations,” Econometrica, Vol. 16 (1948), pp. 1–32.
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I wish to thank Mr. J. L. Hodges, Jr., for his help in the writing of this note.
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Basu, D. (2011). An Inconsistency of the Method of Maximum Likelihood. In: DasGupta, A. (eds) Selected Works of Debabrata Basu. Selected Works in Probability and Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-5825-9_13
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DOI: https://doi.org/10.1007/978-1-4419-5825-9_13
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