Maximum Likelihood Estimation (MLE)

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 the most probable.

We will assume here that our events are given by the above Gaussian distribution and we will determine the optimal parameters \( \beta \) by maximizing the above PDF. However, computing the derivatives of a product function is cumbersome and can easily lead to overflow and/or underflowproblems, with potentials for loss of numerical precision.

In practice, it is more convenient to maximize the logarithm of the PDF because it is a monotonically increasing function of the argument. Alternatively, and this will be our option, we will minimize the negative of the logarithm since this is a monotonically decreasing function.

Note also that maximization/minimization of the logarithm of the PDF is equivalent to the maximization/minimization of the function itself.