A property of maximum likelihood estimator

Ghosh, J. K. ; Sinha, B. K. ; Joshi, S. N. (1980) A property of maximum likelihood estimator Sankhya Series B, 42 . pp. 143-152. ISSN 0581-5738

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Roughly speaking our object in this note is to prove that under standard regularity conditions, with probability tending to one, the maximum likelihood estimate lies in 100(1 - α)% confidence set (0 < α < 1) determined by the family of locally most powerful unbiased tests of H0(θ =θ0 ) vs H1(θ ≠ θ0 ) ; a sort of converse is also proved.

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