Estadistica

© All Rights Reserved

3 views

Estadistica

© All Rights Reserved

- Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
- Estimation Theory
- Thessl Ch1 Statistics, Entropy , Lagrange , Score Test, Estimation
- SVLJ_GARCH
- MLE
- ST102_2008mock
- Customer Base Analysis Notes
- STAT 330 Supplementary Notes
- Estimation of R = P(Y < X) for three-parameter Weibull distribution
- Ml Estimation Tutorial
- Beamer 7
- Estimation of Time-Series Models
- Econometrics Pset 1
- Practice.final
- AS_M0_A4
- 2mb3 6
- o-mle.pdf
- chap5_2017.pdf
- ML Criterion
- EE-636-MLE-IV _Parameter Estimation.pdf

You are on page 1of 23

Telecomunicaciones

info@cps.uis.edu.co https://cpsuis.wordpress.com

Session 13 References

Agenda

1 Session 13

Point Estimation of Parameters

2 References

Session 13 References

Defintion

One of the best methods of obtaining a point estimator of a

parameter is the method of maximum likelihood.

This technique was developed in the 1920s by a famous

British statistician, Sir R. A. Fisher.

As the name implies, the estimator will be the value of the

parameter that maximizes the likelihood function.

Session 13 References

Defintion

One of the best methods of obtaining a point estimator of a

parameter is the method of maximum likelihood.

This technique was developed in the 1920s by a famous

British statistician, Sir R. A. Fisher.

As the name implies, the estimator will be the value of the

parameter that maximizes the likelihood function.

Session 13 References

Defintion

One of the best methods of obtaining a point estimator of a

parameter is the method of maximum likelihood.

This technique was developed in the 1920s by a famous

British statistician, Sir R. A. Fisher.

As the name implies, the estimator will be the value of the

parameter that maximizes the likelihood function.

Session 13 References

Defintion

Suppose that X is a random variable with probability

distribution f (x; ), where is a single unknown parameter.

Let x1 , x2 , ..., xn be the observed values in a sample of size n.

Then the likelihood function of the sample is:

L() = f (x1 ; ) f (x2 ; ) f (xn ; )

Note that the likelihood function is a function of the unknown

parameter .

The maximum likelihood estimator of is the value of that

maximizes the likelihood function L().

The likelihood function of the sample L() for a discrete

random variable is P(X1 = x1 , X2 = x2 , ..., Xn = xn ).

Therefore, in the discrete case, the maximum likelihood

estimator is an estimator that maximizes the probability of

occurrence of the sample values.

Session 13 References

Defintion

Suppose that X is a random variable with probability

distribution f (x; ), where is a single unknown parameter.

Let x1 , x2 , ..., xn be the observed values in a sample of size n.

Then the likelihood function of the sample is:

L() = f (x1 ; ) f (x2 ; ) f (xn ; )

Note that the likelihood function is a function of the unknown

parameter .

The maximum likelihood estimator of is the value of that

maximizes the likelihood function L().

The likelihood function of the sample L() for a discrete

random variable is P(X1 = x1 , X2 = x2 , ..., Xn = xn ).

Therefore, in the discrete case, the maximum likelihood

estimator is an estimator that maximizes the probability of

occurrence of the sample values.

Session 13 References

Defintion

Suppose that X is a random variable with probability

distribution f (x; ), where is a single unknown parameter.

Let x1 , x2 , ..., xn be the observed values in a sample of size n.

Then the likelihood function of the sample is:

L() = f (x1 ; ) f (x2 ; ) f (xn ; )

Note that the likelihood function is a function of the unknown

parameter .

The maximum likelihood estimator of is the value of that

maximizes the likelihood function L().

The likelihood function of the sample L() for a discrete

random variable is P(X1 = x1 , X2 = x2 , ..., Xn = xn ).

Therefore, in the discrete case, the maximum likelihood

estimator is an estimator that maximizes the probability of

occurrence of the sample values.

Session 13 References

Defintion

Suppose that X is a random variable with probability

distribution f (x; ), where is a single unknown parameter.

Let x1 , x2 , ..., xn be the observed values in a sample of size n.

Then the likelihood function of the sample is:

L() = f (x1 ; ) f (x2 ; ) f (xn ; )

Note that the likelihood function is a function of the unknown

parameter .

The maximum likelihood estimator of is the value of that

maximizes the likelihood function L().

The likelihood function of the sample L() for a discrete

random variable is P(X1 = x1 , X2 = x2 , ..., Xn = xn ).

Therefore, in the discrete case, the maximum likelihood

estimator is an estimator that maximizes the probability of

occurrence of the sample values.

Session 13 References

Defintion

Suppose that X is a random variable with probability

distribution f (x; ), where is a single unknown parameter.

Let x1 , x2 , ..., xn be the observed values in a sample of size n.

Then the likelihood function of the sample is:

L() = f (x1 ; ) f (x2 ; ) f (xn ; )

Note that the likelihood function is a function of the unknown

parameter .

The maximum likelihood estimator of is the value of that

maximizes the likelihood function L().

The likelihood function of the sample L() for a discrete

random variable is P(X1 = x1 , X2 = x2 , ..., Xn = xn ).

Therefore, in the discrete case, the maximum likelihood

estimator is an estimator that maximizes the probability of

occurrence of the sample values.

Session 13 References

Defintion

Suppose that X is a random variable with probability

distribution f (x; ), where is a single unknown parameter.

Let x1 , x2 , ..., xn be the observed values in a sample of size n.

Then the likelihood function of the sample is:

L() = f (x1 ; ) f (x2 ; ) f (xn ; )

Note that the likelihood function is a function of the unknown

parameter .

The maximum likelihood estimator of is the value of that

maximizes the likelihood function L().

The likelihood function of the sample L() for a discrete

random variable is P(X1 = x1 , X2 = x2 , ..., Xn = xn ).

Therefore, in the discrete case, the maximum likelihood

estimator is an estimator that maximizes the probability of

occurrence of the sample values.

Session 13 References

Defintion

Suppose that X is a random variable with probability

distribution f (x; ), where is a single unknown parameter.

Let x1 , x2 , ..., xn be the observed values in a sample of size n.

Then the likelihood function of the sample is:

L() = f (x1 ; ) f (x2 ; ) f (xn ; )

Note that the likelihood function is a function of the unknown

parameter .

The maximum likelihood estimator of is the value of that

maximizes the likelihood function L().

The likelihood function of the sample L() for a discrete

random variable is P(X1 = x1 , X2 = x2 , ..., Xn = xn ).

Therefore, in the discrete case, the maximum likelihood

estimator is an estimator that maximizes the probability of

occurrence of the sample values.

Session 13 References

Example 1

Let X be a Bernoulli random variable.

The probability mass function is f (x; p) = p x (1 p)1x , for

x = 0, 1 and 0 otherwise where p is the parameter to be estimated.

The likelihood function of a random sample of size n is

n

Y Pn Pn

L(p) = p xi (1 p)1xi = p i=1 xi (1 p)n i=1 xi

i=1

n

X n

X

lnL(p) = ( xi )ln(p) + (n xi )ln(1 p)

i=1 i=1

Session 13 References

Example 1

Pn

n ni=1 xi

P

dlnL(p) i=1 xi

=

dp p 1p

Pn

Equating this to zero and solving for p yields: p = (1/n) i=1 xi

Suppose that this estimator was applied to the following

situation: n items are selected at random from a production

line, and each item is judged as either defective (in which case

we set xi = 1) or nondefective (in which case we set xi = 0).

P

Then i=1 xi is the number of defective units in the sample,

and p is the sample proportion defective.

The parameter p is the population proportion defective; and it

seems intuitively quite reasonable to use p as an estimate of p.

Session 13 References

Example 2

Let X be normally distributed with mean and variance 2 , where

both and 2 are unknown. The likelihood function for a

random sample of size n is

n

Y 1 2 2 1 (1/2 2 ) ni=1 (xi )2

P

2

L(, ) = e (xi ) /(2 ) = e

i=1

2 (2 2 )n/2

and

n

n 1 X

ln(L(, )) = ln(2 2 )

2

(xi )2

2 (2 2 )

i=1

Now

n

ln(L(, 2 )) 1 X

= 2 (xi ) = 0; = X

i=1

Session 13 References

Example 2

Let X be normally distributed with mean and variance 2 , where

both and 2 are unknown. The likelihood function for a

random sample of size n is

n

Y 1 2 2 1 (1/2 2 ) ni=1 (xi )2

P

2

L(, ) = e (xi ) /(2 ) = e

i=1

2 (2 2 )n/2

and

n

n 1 X

ln(L(, )) = ln(2 2 )

2

(xi )2

2 (2 2 )

i=1

Now

n

ln(L(, 2 )) 1 X

= 2 (xi ) = 0; = X

i=1

Session 13 References

Example 2

Let X be normally distributed with mean and variance 2 , where

both and 2 are unknown. The likelihood function for a

random sample of size n is

n

Y 1 2 2 1 (1/2 2 ) ni=1 (xi )2

P

2

L(, ) = e (xi ) /(2 ) = e

i=1

2 (2 2 )n/2

and

n

n 1 X

ln(L(, )) = ln(2 2 )

2

(xi )2

2 (2 2 )

i=1

Now

n

ln(L(, 2 )) 1 X

= 2 (xi ) = 0; = X

i=1

Session 13 References

Example 2

n

ln(L(, 2 )) n 1 X

= + (xi )2 = 0

2 2 2 2 4

i=1

therefore

n

1X

2 = (Xi X )2

n

i=1

Exercise

Consider the Poisson distribution

e x

f (x) = , x = 0, 1, 2..

x!

Find the maximum likelihood estimator of , based on a random

sample of size n.

Session 13 References

Example 2

n

ln(L(, 2 )) n 1 X

= + (xi )2 = 0

2 2 2 2 4

i=1

therefore

n

1X

2 = (Xi X )2

n

i=1

Exercise

Consider the Poisson distribution

e x

f (x) = , x = 0, 1, 2..

x!

Find the maximum likelihood estimator of , based on a random

sample of size n.

Session 13 References

Properties

Under very general and not restrictive conditions, when the sample

size n is large and if is the maximum likelihood estimator of the

parameter ,

1 is an approximately unbiased estimator for , [E () ]

2 the variance of is nearly as small as the variance that could

be obtained with any other estimator, and

3 has an approximate normal distribution.

Properties 1 and 2 essentially state that the maximum likelihood

estimator is approximately an MVUE. To use maximum likelihood

estimation, remember that the distribution of the population must

be either known or assumed.

Session 13 References

Let 1 , 2 , ..., k be the maximum likelihood estimators of the

parameters 1 , 2 , ..., k . Then the maximum likelihood estimator

of any function h(1 , 2 , ..., k ) of these parameters is the same

function h(1 , 2 , ..., k ) of the estimators 1 , 2 , ..., k

While the method of maximum likelihood is an excellent technique,

sometimes complications arise in its use. For example, it is not

always easy to maximize the likelihood function because the

equation(s) obtained from dL()/d = 0 may be difficult to solve.

Furthermore, it may not always be possible to use calculus

methods directly to determine the maximum of L().

Session 13 References

Let 1 , 2 , ..., k be the maximum likelihood estimators of the

parameters 1 , 2 , ..., k . Then the maximum likelihood estimator

of any function h(1 , 2 , ..., k ) of these parameters is the same

function h(1 , 2 , ..., k ) of the estimators 1 , 2 , ..., k

While the method of maximum likelihood is an excellent technique,

sometimes complications arise in its use. For example, it is not

always easy to maximize the likelihood function because the

equation(s) obtained from dL()/d = 0 may be difficult to solve.

Furthermore, it may not always be possible to use calculus

methods directly to determine the maximum of L().

Session 13 References

References I

- Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-WatanabeUploaded byskebcio
- Estimation TheoryUploaded byDebajyoti Datta
- Thessl Ch1 Statistics, Entropy , Lagrange , Score Test, EstimationUploaded by0105053257hmg
- SVLJ_GARCHUploaded byWei Vickie Guo
- MLEUploaded byTzak Tzakidis
- ST102_2008mockUploaded bySohail Mehmood
- Customer Base Analysis NotesUploaded byRoss Kendall
- STAT 330 Supplementary NotesUploaded byJames Deen
- Estimation of R = P(Y < X) for three-parameter Weibull distributionUploaded byRomero Sales Filho
- Ml Estimation TutorialUploaded byKushalSaharan
- Beamer 7Uploaded bySMILEY 0519
- Estimation of Time-Series ModelsUploaded byanurag3069
- Econometrics Pset 1Uploaded byqiucumber
- Practice.finalUploaded bylawsonz1
- AS_M0_A4Uploaded byKevin Yu
- 2mb3 6Uploaded byGerardo Rocha Benigno
- o-mle.pdfUploaded bydavid
- chap5_2017.pdfUploaded bylau flo
- ML CriterionUploaded bySundarRajan
- EE-636-MLE-IV _Parameter Estimation.pdfUploaded byBharat Chandra Sahu
- MIT18_05S14_Prac_Exa2_Sol.pdfUploaded byIslamSharaf
- SeminarUploaded bymuralidharan
- Ma 629Uploaded byemilypage
- chapter6.pdfUploaded byPoonam Naidu
- extremum_estimators_mle.pdfUploaded byVictor Haselmann Arakawa
- mle.tools==An R Package for Maximum Likelihood Bias CorrectionUploaded bysss
- Final ThesisUploaded bySupalak Phetcharat
- ml-2up-01-linearregression.pdfUploaded byzaid ashraf
- NAM_S13.pdfUploaded byvoikien01
- TMA84.pdfUploaded byrmarcanob

- DSP FINAL 2MARK_ece 1 and 2Uploaded bysivakumarfacebook
- Determination_workloed and Use FactorUploaded byFabián Romero Velazquez
- Interface the Matrix-fiberUploaded byHuy Hoang Nguyen
- Presostato PM1Uploaded bytunradot
- Barbara J. Marciniak - The Pleiadians - Channeled LectureUploaded bycasadelamore
- Voltage Stability Criteria May 1998Uploaded byTerry Herre
- Numerical simulations on the combustion phenomenon in liquid.docxUploaded byAravind Hitchhiker
- Article Mathematics(DECIMALS)Uploaded byMohamad Zulhilmi Hussin
- Onsager EqUploaded bykeditrungphat
- Reframing the Social. Emergentist Systemism and Social Theory - Poe Yu-ze WanUploaded byvengador
- sol_137_03_031001Uploaded byTareq Abdussalam Khamllag
- CE2351 SA 2 Lecture NotesUploaded byKarthik Palaniswamy
- AMV_sol_DFsUploaded byAshok Kumar
- ECE331_Wi06_hw5_solUploaded bybluepearl576
- Osmania PG Exams Postponed: Download Revised Time TableUploaded byMruthyunjay
- 35107892 Analytical Profiles of Drug Substances and Excipients Vol 22 1993 ISBN 0122608224 9780122608223Uploaded byMaryse Itoua
- BRACKER.pdfUploaded byDurairaj.N
- Advanced Materials Research Volume 446-449 Issue 2012 [Doi 10.4028_www.scientific.net_AMR.446-449.648] Zhu, De Bin; Cao, Xiao Jun; Bai, Ya Shuang; Zhang, Qing Wen -- A Discussion About the ImproveUploaded bylazem.360
- Improvement of the Bread Making Quality of Rice FlourUploaded byCarlos Castillo
- B3G Instruction Manual(Contents)031121Uploaded byPham Long
- Quality Control Procedure in Pharmaceutical IndustryUploaded byMuhammad Masoom Akhtar
- All About Metal Detectors.docxUploaded byKamenev Kiril
- Brosur Deltagrout CGUploaded byImam Saleh
- Analytical Calculation of D- And Q-Axis InductanceUploaded byWaleed J. Hassn
- 12S Fusion SplicerUploaded byAdebayo Bashir Oniosun
- VENTUS_N-type_-_catalogue_-_2013.pdfUploaded byZech
- FlexiDry Datasheet F1, F2 & F3Uploaded bysimon_bateman
- 1727 Drafting TechniquesUploaded bydeva3635
- exp 2Uploaded byukhti
- Manual de Serviço Lenovo x220 x220iUploaded byleohyde