Higher Moments of a Maximum-Likelihood Estimate

Abstract

SUMMARY For a distribution depending on a single parameter the first four sampling moments of the maximum-likelihood estimate to orders N−2, N−3, N−3 and N−4 respectively are given. Expressions for the measures of skewness γ1 and γ2 are also given. Several illustrative examples are included as a check on the heavy algebra. The paper extends earlier work by Haldane and Smith.