1.若总体X为离散型,其概率分布列为
![](https://gss1.bdstatic.com/9vo3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D135/sign=6ca09a099325bc312f5d059b6bde8de7/f9dcd100baa1cd1133de3de7b312c8fcc2ce2d88.jpg)
其中
为为未知参数。设
是取自总体的样本容量为n的样本,则
的联合分布律为
。又设
的一组观测值为
,易知样本
取到观测值
的概率为
![](https://gss1.bdstatic.com/9vo3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D12/sign=36178a2bdb00baa1be2c43b946106652/03087bf40ad162d95bf925db1bdfa9ec8b13cde6.jpg)
![](https://gss0.bdstatic.com/94o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D98/sign=4931c756c711728b342d802ac9fc645d/b999a9014c086e0685a4778c08087bf40bd1cbed.jpg)
![](https://gss0.bdstatic.com/94o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D98/sign=4931c756c711728b342d802ac9fc645d/b999a9014c086e0685a4778c08087bf40bd1cbed.jpg)
![](https://gss3.bdstatic.com/7Po3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D79/sign=1310f9b3e1f81a4c2232eec0d62afe52/9358d109b3de9c82ce7bb2486681800a18d843de.jpg)
![](https://gss0.bdstatic.com/94o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D98/sign=4931c756c711728b342d802ac9fc645d/b999a9014c086e0685a4778c08087bf40bd1cbed.jpg)
![](https://gss0.bdstatic.com/-4o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D89/sign=e50e6b393cd3d539c53d02ca3887f091/a71ea8d3fd1f4134bbee4eb92f1f95cad0c85e1f.jpg)
![](https://gss0.bdstatic.com/-4o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D88/sign=46f12458ae0f4bfb88d0935c014f58a3/0d338744ebf81a4c95fca70edd2a6059242da62f.jpg)
![](https://gss1.bdstatic.com/9vo3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D77/sign=0b9d4570e350352ab561270f5243cb19/241f95cad1c8a786f87900c96d09c93d71cf50a1.jpg)
![](https://gss3.bdstatic.com/-Po3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D272/sign=efe531c239fa828bd5239ae4cf1d41cd/38dbb6fd5266d0165aff2bef9d2bd40734fa3516.jpg)
这一概率随
的取值而变化,它是
的函数,称
为样本的
似然函数。
![](https://gss1.bdstatic.com/9vo3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D12/sign=36178a2bdb00baa1be2c43b946106652/03087bf40ad162d95bf925db1bdfa9ec8b13cde6.jpg)
![](https://gss1.bdstatic.com/9vo3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D12/sign=36178a2bdb00baa1be2c43b946106652/03087bf40ad162d95bf925db1bdfa9ec8b13cde6.jpg)
![](https://gss0.bdstatic.com/-4o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D33/sign=752239f971ec54e745ec1c1db8382a46/5366d0160924ab18c33655f03ffae6cd7a890bd0.jpg)
2.若总体X为连续型,其概率密度函数为
,其中
为未知参数。设
是取自总体的样本容量为n的简单样本,则
的联合概率密度函数为
。又设
的一组观测值为
,则随机点
落在点
的邻边(边长分别为
的n维立方体)内的概率近似地为
。
![](https://gss0.bdstatic.com/94o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D48/sign=19023a6ea3014c081d3b29ad0b7b8c57/7dd98d1001e93901d1193af971ec54e737d196da.jpg)
![](https://gss1.bdstatic.com/9vo3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D12/sign=36178a2bdb00baa1be2c43b946106652/03087bf40ad162d95bf925db1bdfa9ec8b13cde6.jpg)
![](https://gss0.bdstatic.com/94o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D98/sign=4931c756c711728b342d802ac9fc645d/b999a9014c086e0685a4778c08087bf40bd1cbed.jpg)
![](https://gss0.bdstatic.com/94o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D98/sign=4931c756c711728b342d802ac9fc645d/b999a9014c086e0685a4778c08087bf40bd1cbed.jpg)
![](https://gss2.bdstatic.com/-fo3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D80/sign=a356113ddbc8a786ba2a470e6609106d/8ad4b31c8701a18b019fa388942f07082938fe85.jpg)
![](https://gss0.bdstatic.com/94o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D98/sign=4931c756c711728b342d802ac9fc645d/b999a9014c086e0685a4778c08087bf40bd1cbed.jpg)
![](https://gss0.bdstatic.com/-4o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D89/sign=e50e6b393cd3d539c53d02ca3887f091/a71ea8d3fd1f4134bbee4eb92f1f95cad0c85e1f.jpg)
![](https://gss0.bdstatic.com/94o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D98/sign=4931c756c711728b342d802ac9fc645d/b999a9014c086e0685a4778c08087bf40bd1cbed.jpg)
![](https://gss0.bdstatic.com/-4o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D89/sign=e50e6b393cd3d539c53d02ca3887f091/a71ea8d3fd1f4134bbee4eb92f1f95cad0c85e1f.jpg)
![](https://gss3.bdstatic.com/7Po3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D107/sign=e8eb57f03ffae6cd08b4af6138b10f9e/b21bb051f819861849ba594340ed2e738ad4e67c.jpg)
![](https://gss2.bdstatic.com/-fo3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D103/sign=d7bc14a59222720e7fcee6fa48ca0a3a/0dd7912397dda144737fdd75b8b7d0a20df48687.jpg)
考虑函数
![](https://gss2.bdstatic.com/9fo3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D272/sign=92389ac7e324b899da3c7e3f5c071d59/6a63f6246b600c333d446e0f104c510fd9f9a13c.jpg)
![](https://gss2.bdstatic.com/-fo3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D33/sign=a9f524b3a7345982c18ae3910df4dc53/c2cec3fdfc039245e8a051c88d94a4c27c1e25db.jpg)
极大似然估计法原理就是固定样本观测值
,挑选参数
使
![](https://gss0.bdstatic.com/-4o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D89/sign=e50e6b393cd3d539c53d02ca3887f091/a71ea8d3fd1f4134bbee4eb92f1f95cad0c85e1f.jpg)
![](https://gss1.bdstatic.com/9vo3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D12/sign=36178a2bdb00baa1be2c43b946106652/03087bf40ad162d95bf925db1bdfa9ec8b13cde6.jpg)
![](https://gss2.bdstatic.com/-fo3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D287/sign=4e6743776f380cd7e21ea5e59645ad14/9c16fdfaaf51f3de4a9605a39eeef01f3b2979d5.jpg)
![](https://gss0.bdstatic.com/-4o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D17/sign=5e7a31f64090f60300b098403b12a5a6/faf2b2119313b07e1e78edcf06d7912396dd8c34.jpg)
![](https://gss3.bdstatic.com/7Po3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D102/sign=24653aeb8d01a18bf4eb164fac2d0761/730e0cf3d7ca7bcba5f77be8b4096b63f724a86d.jpg)
![](https://gss1.bdstatic.com/9vo3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D12/sign=36178a2bdb00baa1be2c43b946106652/03087bf40ad162d95bf925db1bdfa9ec8b13cde6.jpg)
![](https://gss2.bdstatic.com/-fo3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D112/sign=e8302224f71f4134e437017f171e95c1/aa18972bd40735faa8e3f17e94510fb30e2408e1.jpg)
![](https://gss1.bdstatic.com/9vo3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D12/sign=36178a2bdb00baa1be2c43b946106652/03087bf40ad162d95bf925db1bdfa9ec8b13cde6.jpg)
![](https://gss0.bdstatic.com/-4o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D17/sign=5e7a31f64090f60300b098403b12a5a6/faf2b2119313b07e1e78edcf06d7912396dd8c34.jpg)
问题是如何把参数
的极大似然估计
求出。更多场合是利用
是
的增函数,故
与
在同一点处达到最大值,于是对似然函数
取对数,利用微分学知识转化为求解对数似然方程
![](https://gss1.bdstatic.com/9vo3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D12/sign=36178a2bdb00baa1be2c43b946106652/03087bf40ad162d95bf925db1bdfa9ec8b13cde6.jpg)
![](https://gss0.bdstatic.com/-4o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D17/sign=5e7a31f64090f60300b098403b12a5a6/faf2b2119313b07e1e78edcf06d7912396dd8c34.jpg)
![](https://gss0.bdstatic.com/94o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D48/sign=6b9788b872f0f736dcfe4d09085553a3/d52a2834349b033b9b46421d1fce36d3d439bd2f.jpg)
![](https://gss0.bdstatic.com/-4o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D33/sign=752239f971ec54e745ec1c1db8382a46/5366d0160924ab18c33655f03ffae6cd7a890bd0.jpg)
![](https://gss0.bdstatic.com/94o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D48/sign=6b9788b872f0f736dcfe4d09085553a3/d52a2834349b033b9b46421d1fce36d3d439bd2f.jpg)
![](https://gss0.bdstatic.com/-4o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D33/sign=752239f971ec54e745ec1c1db8382a46/5366d0160924ab18c33655f03ffae6cd7a890bd0.jpg)
![](https://gss0.bdstatic.com/-4o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D33/sign=752239f971ec54e745ec1c1db8382a46/5366d0160924ab18c33655f03ffae6cd7a890bd0.jpg)
![](https://gss2.bdstatic.com/-fo3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D112/sign=e8302224f71f4134e437017f171e95c1/aa18972bd40735faa8e3f17e94510fb30e2408e1.jpg)
![](https://gss2.bdstatic.com/-fo3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D112/sign=e8302224f71f4134e437017f171e95c1/aa18972bd40735faa8e3f17e94510fb30e2408e1.jpg)
![](https://gss1.bdstatic.com/9vo3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D12/sign=36178a2bdb00baa1be2c43b946106652/03087bf40ad162d95bf925db1bdfa9ec8b13cde6.jpg)
![](https://gss0.bdstatic.com/94o3dSag_xI4khGkpoWK1HF6hhy/baike/s%3D179/sign=bd5e730da551f3dec7b2bd63adeff0ec/960a304e251f95caf1802971c3177f3e660952fb.jpg)