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Maximum Likelihood: An Introduction

L. Le Cam
International Statistical Review / Revue Internationale de Statistique
Vol. 58, No. 2 (Aug., 1990), pp. 153-171
DOI: 10.2307/1403464
Stable URL: http://www.jstor.org/stable/1403464
Page Count: 19
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Maximum Likelihood: An Introduction
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Abstract

Maximum likelihood estimates are reported to be best under all circumstances. Yet there are numerous simple examples where they plainly misbehave. One gives some examples for problems that had not been invented for the purpose of annoying maximum likelihood fans. Another example, imitated from Bahadur, has been specially created with just such a purpose in mind. Next, we present a list of principles leading to the construction of good estimates. The main principle says that one should not believe in principles but study each problem for its own sake. /// L'auteur a ouï dire que la méthode du maximum de vraisemblance est la meilleure méthode d'estimation. C'est bien vrai, et pourtant la méthode se casse le nez sur des exemples bien simples qui n'avaient pas été inventés pour le plaisir de montrer que la méthode peut être très désagréable. On en donne quelques-uns, plus un autre, imité de Bahadur et fabriqué exprès pour ennuyer les admirateurs du maximum de vraisemblance. Ce fait, on donne une savante liste de principes de construction de bons estimateurs, le principe principal étant qu'il ne faut pas croire aux principes.

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