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Tutorial on Estimation and Multivariate Gaussians

Tutorial on Estimation and MultivariateGaussiansSTAT 27725/CMSC 25400: Machine LearningShubhendu Trivedi - Technological InstituteOctober 2015 Tutorial on Estimation and Multivariate GaussiansSTAT 27725/CMSC 25400 Things we will look at today Maximum Likelihood Estimation ML for Bernoulli Random Variables Maximizing a Multinomial Likelihood: LagrangeMultipliers Multivariate Gaussians Properties of Multivariate Gaussians Maximum Likelihood for Multivariate Gaussians (Time permitting) Mixture ModelsTutorial on Estimation and Multivariate GaussiansSTAT 27725/CMSC 25400 The Principle of Maximum LikelihoodSuppose we haveNdata pointsX={x1,x2.}

Tutorial on Estimation and Multivariate GaussiansSTAT 27725/CMSC 25400. The Principle of Maximum Likelihood We want to pick MLi.e. the best value of that explains the ... Cookbook, "turn the crank" method "Optimal" for large data sizes Disadvantages of ML Estimation Not optimal for small sample sizes Can be computationally challenging ...

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