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Assessing the Accuracy of the Maximum Likelihood Estimator: Observed Versus Expected Fisher Information

Bradley Efron and David V. Hinkley
Biometrika
Vol. 65, No. 3 (Dec., 1978), pp. 457-482
Published by: Oxford University Press on behalf of Biometrika Trust
DOI: 10.2307/2335893
Stable URL: http://www.jstor.org/stable/2335893
Page Count: 26
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Assessing the Accuracy of the Maximum Likelihood Estimator: Observed Versus Expected Fisher Information
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Abstract

This paper concerns normal approximations to the distribution of the maximum likelihood estimator in one-parameter families. The traditional variance approximation is $1/\mathscr{J}_\hat\theta$, where $\hat\theta$ is the maximum likelihood estimator and Jθ is the expected total Fisher information. Many writers, including R. A. Fisher, have argued in favour of the variance estimate 1/I(x), where I(x) is the observed information, i.e. minus the second derivative of the log likelihood function at $\hat\theta$ given data x. We give a frequentist justification for preferring 1/I(x) to $1/\mathscr{J}_\hat\theta$. The former is shown to approximate the conditional variance of $\hat\theta$ given an appropriate ancillary statistic which to a first approximation is I(x). The theory may be seen to flow naturally from Fisher's pioneering papers on likelihood estimation. A large number of examples are used to supplement a small amount of theory. Our evidence indicates preference for the likelihood ratio method of obtaining confidence limits.

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