Maximum likelihood  

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Kunstformen der Natur (1904) by Ernst Haeckel
Kunstformen der Natur (1904) by Ernst Haeckel

In statistics, maximum-likelihood estimation (MLE) is a method of estimating the parameters of a statistical model. When applied to a data set and given a statistical model, maximum-likelihood estimation provides estimates for the model's parameters.

The method of maximum likelihood corresponds to many well-known estimation methods in statistics. For example, one may be interested in the heights of adult female giraffes, but be unable due to cost or time constraints, to measure the height of every single giraffe in a population. Assuming that the heights are normally (Gaussian) distributed with some unknown mean and variance, the mean and variance can be estimated with MLE while only knowing the heights of some sample of the overall population. MLE would accomplish this by taking the mean and variance as parameters and finding particular parametric values that make the observed results the most probable (given the model). In the Kolmogorov structure function one deals with individual strings. When the models are probability mass functions (required to be computable) then one has a variant of maximum likelihood.

In general, for a fixed set of data and underlying statistical model, the method of maximum likelihood selects values of the model parameters that produce a distribution that gives the observed data the greatest probability (i.e., parameters that maximize the likelihood function). Maximum-likelihood estimation gives a unified approach to estimation, which is well-defined in the case of the normal distribution and many other problems. However, in some complicated problems, difficulties do occur: in such problems, maximum-likelihood estimators are unsuitable or do not exist.

Unless indicated otherwise, the text in this article is either based on Wikipedia article "Maximum likelihood" or another language Wikipedia page thereof used under the terms of the GNU Free Documentation License; or on original research by Jahsonic and friends. See Art and Popular Culture's copyright notice.

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