math

maximum likelihood

A statistical method for estimating parameters by maximizing the likelihood function.
39 related articles

Description

Maximum likelihood estimation (MLE) is a cornerstone of statistical inference. It provides a principled way to choose the parameters of a probability distribution that best explain observed data. Given a set of data points and a candidate model (e.g., a normal distribution with unknown mean and variance), MLE selects the parameter values that make the observed data most probable under that model. This 'most probable' is quantified by the likelihood function, which measures how likely the data is as a function of the parameters.

History

The method was introduced by Ronald Fisher in the 1920s, building on earlier work by Carl Friedrich Gauss and others. Fisher formalized the concept and established its desirable properties, such as consistency and efficiency.

How it works

The likelihood function L(θ | data) is constructed as the product of the probabilities (or probability densities) of each observed data point, given the parameter vector θ. MLE finds the θ that maximizes this product. In practice, one often maximizes the log-likelihood (the natural logarithm of L) because it turns the product into a sum, which is easier to differentiate and numerically stable. The maximum is found by setting the derivative of the log-likelihood with respect to θ to zero and solving, or by using iterative numerical optimization algorithms when no closed-form solution exists.

In practice

MLE is ubiquitous in science and engineering: it underpins regression analysis, neural network training (via cross-entropy loss), and parameter estimation in physics experiments, from particle physics to cosmology.

Fun fact

MLE is not always unbiased: for example, the maximum likelihood estimate of the variance of a normal distribution is biased downward by a factor of (n-1)/n, which is why the sample variance uses n-1.

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