On an Asymptotic Distribution for the MLE

06/11/2021

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by   Stephen G. Walker, et al.

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The paper presents a novel asymptotic distribution for a mle when the log–likelihood is strictly concave in the parameter for all data points; for example, the exponential family. The new asymptotic distribution can be seen as a refinement of the usual normal asymptotic distribution and is comparable to an Edgeworth expansion. However, it is obtained with weaker conditions than even those for asymptotic normality. The same technique is then used to find the exact distribution of the weighted likelihood bootstrap sampler.