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Lecture

Statistical Estimation: Maximum Likelihood

In course

MATH-240: Statistics

Ce cours donne une introduction au traitement mathématique de la théorie de l'inférence statistique en utilisant la notion de vraisemblance comme un thème central. ...

Description

This lecture covers the Maximum Likelihood Estimation (MLE) method in statistical inference, focusing on its properties and applications. Topics include the consistency and asymptotic properties of MLE, the bias and variance of estimators, the Cramér-Rao bound, and the method of moments. The instructor discusses the challenges in finding explicit solutions for MLE in certain distributions, such as the Cauchy and Gamma distributions, and introduces the Newton-Raphson iteration and the method of moments as alternative estimation techniques.

Instructors (2)

Yoav Zemel

Victor Panaretos

Official source

Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Related concepts (32)

Martinique

Martinique (ˌmɑːrtᵻˈniːk , maʁtinik; Matinik or Matnik; Kalinago: Madinina or Madiana) is an island which is a single territorial collectivity of the French Republic. It is also part of the European Union as an Outermost Region within the Special territories of members of the European Economic Area, but is not part of the Schengen Area and the European Union Customs Union. As part of the French (Antilles) West Indies, Martinique is located in the Lesser Antilles of the West Indies in the eastern Caribbean Sea.

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.

Gamma distribution

In probability theory and statistics, the gamma distribution is a two-parameter family of continuous probability distributions. The exponential distribution, Erlang distribution, and chi-squared distribution are special cases of the gamma distribution. There are two equivalent parameterizations in common use: With a shape parameter and a scale parameter . With a shape parameter and an inverse scale parameter , called a rate parameter. In each of these forms, both parameters are positive real numbers.

Statistical inference

Statistical inference is the process of using data analysis to infer properties of an underlying distribution of probability. Inferential statistical analysis infers properties of a population, for example by testing hypotheses and deriving estimates. It is assumed that the observed data set is sampled from a larger population. Inferential statistics can be contrasted with descriptive statistics. Descriptive statistics is solely concerned with properties of the observed data, and it does not rest on the assumption that the data come from a larger population.

Texas Instruments

Texas Instruments Incorporated (TI) is an American technology company headquartered in Dallas, Texas, that designs and manufactures semiconductors and various integrated circuits, which it sells to electronics designers and manufacturers globally. It is one of the top 10 semiconductor companies worldwide based on sales volume. The company's focus is on developing analog chips and embedded processors, which account for more than 80% of its revenue.

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