Sunday, May 17, 2020

Properties of Maximum-Likelihood Estimators

List the properties of Maximum-Likelihood Estimators


Properties of Maximum-Likelihood Estimators


Maximum-likelihood estimators have the following general properties:
  • Maximum-likelihood estimators are consistent; as the sample size increases, the estimator converges in probability to its true value
  • They are asymptotically unbiased, although they may be biased in small samples.
  • They are asymptotically efficient—no asymptotically unbiased estimator has a smaller asymptotic variance.
  • They are asymptotically normally distributed. As the sample size increases, the distribution of the estimator is normal. No other estimator will have a smaller standard error.         
  • If there is a sufficient statistic for a parameter, then the maximum-likelihood estimator of the parameter is a function of a sufficient statistic.
    • A sufficient statistic is a statistic that exhausts all of the information in the sample about the parameter of interest.

*******************

Related Questions:

properties of maximum likelihood estimators

ML estimators are consistence

No comments:

Post a Comment

Featured Content

Multiple choice questions in Natural Language Processing Home

MCQ in Natural Language Processing, Quiz questions with answers in NLP, Top interview questions in NLP with answers Multiple Choice Que...

All time most popular contents

data recovery