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lectures/mle.md

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@@ -180,9 +180,7 @@ $$
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For our sample $w_1, w_2, \cdots, w_n$, the [likelihood function](https://en.wikipedia.org/wiki/Likelihood_function) is given by
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$$
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\begin{aligned}
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L(\mu, \sigma | w_i) = \prod_{i=1}^{n} f(w_i, \mu, \sigma) \\
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\end{aligned}
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L(\mu, \sigma | w_i) = \prod_{i=1}^{n} f(w_i, \mu, \sigma)
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$$
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The likelihood function can be viewed as both
@@ -207,26 +205,22 @@ To find where this function is maximised we find its partial derivatives wrt $\m
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Let's first find the maximum likelihood estimate (MLE) of $\mu$
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$$
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\begin{aligned}
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\frac{\delta \ell}{\delta \mu}
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= - \frac{1}{2\sigma^2} \times 2 \sum_{i=1}^n (\ln w_i - \mu) = 0 \\
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\implies \sum_{i=1}^n \ln w_i - n \mu = 0 \\
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\implies \hat{\mu} = \frac{\sum_{i=1}^n \ln w_i}{n}
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\end{aligned}
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$$
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Now let's find the MLE of $\sigma$
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$$
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\begin{aligned}
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\frac{\delta \ell}{\delta \sigma^2}
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= - \frac{n}{2\sigma^2} + \frac{1}{2\sigma^4}
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\sum_{i=1}^n (\ln w_i - \mu)^2 = 0 \\
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\implies \frac{n}{2\sigma^2} =
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\frac{1}{2\sigma^4} \sum_{i=1}^n (\ln w_i - \mu)^2 \\
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\implies \hat{\sigma} =
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\left( \frac{\sum_{i=1}^{n}(\ln w_i - \hat{\mu})^2}{n} \right)^{1/2}
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\end{aligned}
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$$
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Now that we have derived the expressions for $\hat{\mu}$ and $\hat{\sigma}$,

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