D. R. Brillinger, The Asymptotic Behaviour of Tukey's General Method of Setting Approximate Confidence Limits (The Jackknife) When Applied to Maximum Likelihood Estimates, Revue de l'Institut International de Statistique / Review of the International Statistical Institute, Vol. 32, No. 3 (1964), pp. 202-206
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David R. Brillinger (1964) studied this question.
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