Small-sample properties of maximum probability estimators

The theory of maximum probability estimation is predominantly asymptotic. In this paper it is shown that in many cases maximum probability estimators based on small samples are admissible for all practical purposes, in the sense that their expected gain function is arbitrarily close to the expected gain function of an admissible estimator.

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Year of publication:	1983
Authors:	Weiss, Lionel
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 14.1983, 3, p. 267-277
Publisher:	Elsevier
Subject:	Estimation efficiency admissibility

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874320