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Maximum Likelihood Estimation 1 Maximum Likelihood …

Math 541: Statistical Theory IIMaximum Likelihood EstimationLecturer: Songfeng Zheng1 Maximum Likelihood EstimationMaximum Likelihood is a relatively simple method of constructing an estimator for an un-known parameter . It was introduced by R. A. Fisher, a great English mathematical statis-tician, in 1912. Maximum Likelihood Estimation (MLE) can be applied in most problems, ithas a strong intuitive appeal, and often yields a reasonable estimator of . Furthermore, ifthe sample is large, the method will yield an excellent estimator of . For these reasons, themethod of Maximum Likelihood is probably the most widely used method of Estimation that the random variablesX1, , Xnform a random sample from a distributionf(x| ); ifXis continuous random variable,f(x| ) is pdf, ifXis discrete random variable,f(x| ) is point mass function.

Maximum Likelihood Estimation Lecturer: Songfeng Zheng 1 Maximum Likelihood Estimation Maximum likelihood is a relatively simple method of constructing an estimator for an un-known parameter µ. It was introduced by R. A. Fisher, a great English mathematical statis-tician, in 1912. Maximum likelihood estimation (MLE) can be applied in most ...

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