Revisiting the Intuition Behind Maximum Likelihood Estimation
In this video, I will try to build an intuition as to where the equations presented in the video on maximum likelihood estimation in the context of the Ornstein-Uhlenbeck process come from. I will work mainly with the normal distribution as it is more familiar and the math is easier, but the concepts are identical regardless of which distribution one uses.
Correction: In the video I said repeatedly that the math involving the calculation of sigma involves multiple chain rules. Taking the log gets rid of that problem, and the calculation is quite straightforward. I have included it in the notebook.
Github (PDF of math): https://github.com/kpmooney/numerical...
Github (notebook): https://github.com/kpmooney/numerical...
Max Likelihood 1: • Maximum Likelihood Estimation (Part 1)
Max Likelihood 2: • Maximum Likelihood Estimation - the Ornste...
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