Constructing PDFs for Max Likelihood Density Estimation Problem

In summary, the constrained optimization problem corresponding to the maximum likelihood density estimation is to maximize ##L(f)## subject to ##f\in H## and where ##n## is a fixed positive integer. The function ##f_n## graphically represented in the figure below has all but one of the properties you want, provided you choose the family of betas with peak heights at the even integers.
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Construct some probability density functions for the maximum likelihood density estimation problem.
I have the following constrained optimization problem corresponding to the maximum likelihood density estimation:
$$
\begin{aligned}
&\text{maximize} && L(f) \\
&\text{subject to} && f \in H \\
&&& \int_a^b f(x) \mathop{}\!\mathrm{d} x = 1 \\
&&& f(x) \geq 0 \text{ for all } x \in [a,b].
\end{aligned}
$$
where ##x## is a random variable with probability density function (PDF) ##f## on an interval ##[a,b] \subset \textrm{IR}##, and ##H## is a subspace of ##L^1 [a,b]## (i.e., Lebesgue integrable on ##[a,b]##).

I need to construct some PDFs ##f_n## to prove the existence of a solution to the above optimization problem, which should have the following properties:
- Continuous and positive on the interval ##(-1,1)##,
- Integrates to one on the interval ##[-1,1]##,
- Vanishes at ##(-1)## and ##1##,
- Equal to ##n## at ##x=0## (e.g., ##f_2=2## at ##x=0##).

These functions ##f_n## are graphically represented in the figure below. My question is how to mathematically represent the functions ##f_n##.

Thanks.

fn.png
 
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The PDFs of the beta distribution have all but one of the properties you want, on the interval [0,1], provided you choose ##\alpha = \beta##. That leaves one free parameter you can use to set the summit of each curve at the level you want.
If you select a family of betas with peak heights at the even integers, you can then just transpose them to the interval [-1,1] and halve their height to get what you need.
 
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  • #3
andrewkirk said:
The PDFs of the beta distribution have all but one of the properties you want, on the interval [0,1], provided you choose ##\alpha = \beta##. That leaves one free parameter you can use to set the summit of each curve at the level you want.
If you select a family of betas with peak heights at the even integers, you can then just transpose them to the interval [-1,1] and halve their height to get what you need.
Thank you, @andrewkirk, for your answer. That was helpful.
 
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1. What is the purpose of constructing PDFs for the Max Likelihood Density Estimation Problem?

The purpose of constructing PDFs for the Max Likelihood Density Estimation Problem is to estimate the probability density function (PDF) of a given dataset. This is done by finding the parameters of a PDF that best fit the data, using the maximum likelihood method.

2. How is the maximum likelihood method used to construct PDFs for the Max Likelihood Density Estimation Problem?

The maximum likelihood method is used to find the parameters of a PDF that maximize the likelihood of observing the given dataset. This is done by calculating the likelihood function, which is the probability of observing the data given the parameters of the PDF. The parameters that result in the highest likelihood are then chosen as the estimated parameters for the PDF.

3. What are the advantages of using PDFs for the Max Likelihood Density Estimation Problem?

Using PDFs for the Max Likelihood Density Estimation Problem allows for a more accurate estimation of the underlying distribution of the data. It also provides a way to quantify the uncertainty in the estimated parameters and make statistical inferences about the data.

4. What types of PDFs are commonly used for the Max Likelihood Density Estimation Problem?

Some commonly used PDFs for the Max Likelihood Density Estimation Problem include the normal distribution, exponential distribution, and gamma distribution. The choice of PDF depends on the type of data being analyzed and the assumptions made about the underlying distribution.

5. How can the quality of the constructed PDFs for the Max Likelihood Density Estimation Problem be evaluated?

The quality of the constructed PDFs can be evaluated by comparing the estimated parameters to the actual parameters of the underlying distribution (if known). Additionally, measures such as the mean squared error or the Kolmogorov-Smirnov statistic can be used to assess the fit of the PDF to the data.

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