1. 一维高斯分布参数 μ , σ \mu,\sigma μ,σ的极大似然估计
datas: X = ( x 1 , x 2 , … , x n ) n × p T = ( x 11 , x 12 … , x 1 p x 21 , x 22 … , x 2 p ⋮ x n 1 , x n 2 … , x n p ) X=(x_1,x_2,\dotsc,x_n)^T_{n\times p}=\begin{pmatrix}x_{11},x_{12}\dotsc,x_{1p}\\x_{21},x_{22}\dotsc,x_{2p}\\ \vdots\\x_{n1},x_{n2}\dotsc,x_{np}\end{pmatrix} X=(x1,x2,…,xn)n×pT=⎝⎜⎜⎜⎛x11,x12…,x1px21,x22…,x2p⋮xn1,xn2…,xnp⎠⎟⎟⎟⎞
x i ∽ i i d N ( μ , Σ ) x_i\overset{iid}{\backsim}N(\mu,\varSigma) xi∽iidN(μ,Σ),
iid(Independent and identically distributed,独立同分布,之后没特殊说明。均为独立同分布)
θ = ( μ , Σ ) , p ( x ) = 1 ( 2 π ) p 2 Σ 1 2 exp ( − 1 2 ( x − μ ) T Σ − 1 ( x − μ ) ) \theta=(\mu,\varSigma),p(x)=\frac{1}{(2\pi)^{\frac{p}{2}}\varSigma^{\frac{1}{2}}}\exp{(-\frac{1}{2}(x-\mu)^T\varSigma^{-1}(x-\mu))} θ=(μ,Σ),p(x)=(2π)2pΣ211exp(−21(x−μ)TΣ−1(x−μ))
令p=1(p为 x i x_i xi的维度),则 θ = ( μ , σ 2 ) , p ( x ) = 1 2 π σ exp ( − ( x − μ ) 2 2 σ 2 ) \theta=(\mu,\sigma^2),p(x)=\frac{1}{\sqrt{2\pi}\sigma}\exp{(-\frac{(x-\mu)^2}{2\sigma^2})} θ=(μ,σ2),p(x)=2πσ1exp(−2σ2(x−μ)2)即高维高斯分布退化为一维高斯分布。
极大似然估计: θ M L E = a r g max θ P ( X ∣ θ ) log P ( X ∣ θ ) = log ∏ i = 1 n p ( x i ∣ θ ) = ∑ i = 1 n log P ( x i ∣ θ ) = ∑ i = 1 n