Maximum Likelihood Estimation

Maximum Likelihood Estimation (MLE) is a statistical method for estimating the parameters of a probability distribution based on observed data. Given a set of observations and a parametric model, MLE finds the parameter values that maximize the likelihood function—the probability of observing the given data under those parameters. The method is widely used across statistics, machine learning, and applied mathematics because it provides theoretically sound estimates with desirable asymptotic properties.

Core Principle

The likelihood function represents how probable the observed data is for different parameter values. MLE selects the parameters that make the observed data most probable. Mathematically, if we have observations x₁, x₂, …, xₙ from a distribution with parameters θ, the likelihood is the joint probability L(θ) = P(x₁, x₂, …, xₙ | θ). In practice, the log-likelihood is often maximized instead, since logarithms convert products into sums and are computationally stable and efficient for optimization algorithms.

Applications and Scale