Lecture

Maximum Likelihood Estimation: Theory

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Description

This lecture covers the theory behind Maximum Likelihood Estimation (MLE), discussing properties such as consistency, asymptotic normality, and efficiency. It delves into the information matrix, asymptotic covariance matrix, and the use of MLE in various applications like binary choice models and ordered multiresponse models.

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Ontological neighbourhood

Statistics

Data analysis: Regression analysis

Statistical inference: Mathematical statistics

Related concepts (32)

Logit

In statistics, the logit (ˈloʊdʒɪt ) function is the quantile function associated with the standard logistic distribution. It has many uses in data analysis and machine learning, especially in data transformations. Mathematically, the logit is the inverse of the standard logistic function , so the logit is defined as Because of this, the logit is also called the log-odds since it is equal to the logarithm of the odds where p is a probability. Thus, the logit is a type of function that maps probability values from to real numbers in , akin to the probit function.

Covariance matrix

In probability theory and statistics, a covariance matrix (also known as auto-covariance matrix, dispersion matrix, variance matrix, or variance–covariance matrix) is a square matrix giving the covariance between each pair of elements of a given random vector. Any covariance matrix is symmetric and positive semi-definite and its main diagonal contains variances (i.e., the covariance of each element with itself). Intuitively, the covariance matrix generalizes the notion of variance to multiple dimensions.

Discrete choice

In economics, discrete choice models, or qualitative choice models, describe, explain, and predict choices between two or more discrete alternatives, such as entering or not entering the labor market, or choosing between modes of transport. Such choices contrast with standard consumption models in which the quantity of each good consumed is assumed to be a continuous variable. In the continuous case, calculus methods (e.g. first-order conditions) can be used to determine the optimum amount chosen, and demand can be modeled empirically using regression analysis.

Maximum likelihood estimation

In statistics, maximum likelihood estimation (MLE) is a method of estimating the parameters of an assumed probability distribution, given some observed data. This is achieved by maximizing a likelihood function so that, under the assumed statistical model, the observed data is most probable. The point in the parameter space that maximizes the likelihood function is called the maximum likelihood estimate. The logic of maximum likelihood is both intuitive and flexible, and as such the method has become a dominant means of statistical inference.

Logistic regression

In statistics, the logistic model (or logit model) is a statistical model that models the probability of an event taking place by having the log-odds for the event be a linear combination of one or more independent variables. In regression analysis, logistic regression (or logit regression) is estimating the parameters of a logistic model (the coefficients in the linear combination).

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