The Annals of Statistics

Maximum Likelihood and Decision Theory

Bradley Efron

Full-text: Open access

Abstract

This paper discusses five questions concerning maximum likelihood estimation: What kind of theory is maximum likelihood? How is maximum likelihood used in practice? To what extent can this theory and practice be justified from a decision-theoretic viewpoint? What are maximum likelihood's principal virtues and defects? What improvements have been suggested by decision theory?

Article information

Source
Ann. Statist. Volume 10, Number 2 (1982), 340-356.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176345778

Digital Object Identifier
doi:10.1214/aos/1176345778

Mathematical Reviews number (MathSciNet)
MR653516

Zentralblatt MATH identifier
0494.62004

JSTOR
links.jstor.org

Subjects
Primary: 62A10
Secondary: 62B10: Information-theoretic topics [See also 94A17]

Keywords
Maximum likelihood estimate summary Fisher information Stein estimation

Citation

Efron, Bradley. Maximum Likelihood and Decision Theory. Ann. Statist. 10 (1982), no. 2, 340--356. doi:10.1214/aos/1176345778. https://projecteuclid.org/euclid.aos/1176345778


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