New constructive derivation of the misspecified Cramér-Rao bound via maximization of a naive bound over pointwise equivalent models, with explicit estimator-class characterization and proof that the misspecified ML estimator is efficient if it exists.
The behavior of maximum likelihood estimat es under nonstandard conditions,
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Revisiting the Misspecified Cram\'er-Rao Bound
New constructive derivation of the misspecified Cramér-Rao bound via maximization of a naive bound over pointwise equivalent models, with explicit estimator-class characterization and proof that the misspecified ML estimator is efficient if it exists.