Jupiter Police Sgt. Scott Pascarella said they were looking for Paul Michael Merhige, 35, of Miami. Merhige is a cousin of the 6-year-old victim, McKayla Sitton, police said.
The others killed were all women. They were named as Raymonde Joseph, 76, Carla Merhige and Lisa Merhige. The two women were 33-year-old twin sisters, and sisters of Paul Merhige.
Authorities said a fifth victim, Patrick McKnight, was being treated at a hospital. His condition was not available.
Pascarella said police received a 911 call from a neighbor shortly after 10 p.m. Police then received a second 911 call from someone within the home. Pascarella says the shootings took place inside the house.
"What led to this incident, we're not quite sure," said Pascarella. "It did not appear there was any altercation prior to this shooting."
Police said the home was owned by Jim Sitton, a photojournalist for WPTV-TV and father of the little girl killed. Sitton told WPTV his daughter was in bed when she was shot. He was at the party at the time of the shooting but was not wounded.
Sitton told local media that his daughter was supposed to perform Friday in a holiday production of the Nutcracker.
"God packed a lot of sweetness into that little body," Sitton said. "She's just our life. I don't know how we are ever going to recover."
The relationship between Sitton and Paul Merhige was unclear, police said.
Police across South Florida and the U.S. Marshals Service were searching for Merhige. Pascarella said Merhige is believed to be driving a blue 2007 4-door Toyota Camry with Florida license plate W42 7JT.
"The word we're trying to get out to the public is that this individual is considered armed and dangerous," said Pascarella.
Phone calls to a number listed for Paul Merhige were not answered.