Statistics

Maximum Likelihood Estimation

Also known as: MLE

Choosing the parameter values that make the observed data most probable.

Maximise the log-likelihood, since independence makes the likelihood a product and logs turn it into a differentiable sum.

The classic interview fact. For normal data, the MLE of the mean is the sample mean (unbiased), but the MLE of the variance divides by n, not n-1, and is therefore biased downward. Bessel's correction restores unbiasedness at the cost of no longer being the MLE - the two criteria genuinely conflict.

Properties: consistent, asymptotically efficient, and invariant under reparameterisation. Not necessarily unbiased in finite samples.

The failure mode: model misspecification gives a confidently wrong answer with wrong confidence intervals.

Full guide

Maximum Likelihood Estimation

Choose the parameters that make your data most probable. What MLE guarantees, and where it goes wrong.

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