MHB Finding MLE for $\theta$ of Statistical Product Model

[mathmari]

Hey! :giggle:

For $n \in \mathbb{N}$ we consider the discrete statistical product model $(X ,(P_{\theta})_{\theta \in\Theta})$ with $X = \mathbb{N}^n$, $\Theta = (0, 1)$ and $p_{\theta}(x_i) = \theta(1 -\theta)^{x_i−1}$
for all $x_i \in \mathbb{N}, \theta \in \Theta$. So $n$ independent, identical experiments are carried out, the outcomes of which are modeled by independent, geometrically distributed random variables with an unknown probability of success $\theta$.
(a) Give the corresponding likelihood function.
(b) Determine an estimator for the parameter $\theta$ using the maximum likelihood method (for samples $x$ that do not consist only of ones). Note intermediate steps.
(c) You observe the following sample $x$: $$4 \ \ \ \ \ 2 \ \ \ \ \ 7 \ \ \ \ \ 4 \ \ \ \ \ 3 \ \ \ \ \ 1 \ \ \ \ \ 8 \ \ \ \ \ 2 \ \ \ \ \ 4 \ \ \ \ \ 5$$ Give the concrete estimated value for $\theta$ for $x$ using the estimator of part (b).I have done the following :

(a) The likelihood function is $$L_x(\theta)=\prod_{i\in \mathbb{N}}p_{\theta}(x_i)$$ or not? Can wecalculate that further or do we let that as it is?(b) We have to calculate the supremum of $L_x(\theta)$ as for $\theta$, right?

:unsure:

 

[GJA]

Hi mathmari,

Nice job so far. Here are a few ideas to keep things moving along.

(a) The product should be for $1\leq i\leq n$. Using this fact and the formula for $p_{\theta}(x_{i})$, we can take your work a step further to obtain a closed-form expression for the likelihood.

(b) You will need to calculate the value of $\theta$ that maximizes the likelihood function from part (a), given the data $x_{i}$. This means the value of $\theta$ you calculate will depend on (i.e., be a function of) $x_{i}$. This can be done by differentiating with respect to $\theta$, setting this equal to zero and solving for $\theta.$ However, to make your life easier, I would strongly suggest taking the logarithm of the likelihood function before you calculate the value of $\theta$. Since the logarithm function is monotonic/order-preserving, the so-called "log-likelihood" function and the original likelihood function are maximized for the same value of $\theta$.

Feel free to let me know if anything remains unclear.

 

[mathmari]

(a) The product should be for $1\leq i\leq n$. Using this fact and the formula for $p_{\theta}(x_{i})$, we can take your work a step further to obtain a closed-form expression for the likelihood.

We have that $$L_x(\theta)=\prod_{i=1}^np_{\theta}(x_i)=\prod_{i=1}^n \theta(1 -\theta)^{x_i−1}= \theta^n(1 -\theta)^{\sum_{i=1}^nx_i−n} $$

Is that correct? :unsure:

 

[GJA]

We have that $$L_x(\theta)=\prod_{i=1}^np_{\theta}(x_i)=\prod_{i=1}^n \theta(1 -\theta)^{x_i−1}= \theta^n(1 -\theta)^{\sum_{i=1}^nx_i−n} $$

Is that correct? :unsure:

Exactly, nice job!

For part (b) you're trying to determine the value for $\theta$ that maximizes $L_{x}(\theta)$ for the given data $x_{i}$; i.e., you're thinking of the $x_{i}$ as fixed so that $L_{x}(\theta)$ is being considered as a function of $\theta$. Using the fact that $\ln\left[L_{x}(\theta)\right]$ and $L_{x}(\theta)$ are maximized for the same value of $\theta$ will make solving for $\theta$ less laborious. However you choose to proceed, taking a derivative, setting it equal to zero and solving for $\theta$ will produce the desired result.

 

[mathmari]

For part (b) you're trying to determine the value for $\theta$ that maximizes $L_{x}(\theta)$ for the given data $x_{i}$; i.e., you're thinking of the $x_{i}$ as fixed so that $L_{x}(\theta)$ is being considered as a function of $\theta$. Using the fact that $\ln\left[L_{x}(\theta)\right]$ and $L_{x}(\theta)$ are maximized for the same value of $\theta$ will make solving for $\theta$ less laborious. However you choose to proceed, taking a derivative, setting it equal to zero and solving for $\theta$ will produce the desired result.

So we have \begin{align*}&g(\theta) = \ln \left (L_x(\theta)\right )=\ln \left (\theta^n(1 -\theta)^{\sum_{i=1}^nx_i−n}\right ) =\ln \left (\theta^n\right )+\ln \left ((1 -\theta)^{\sum_{i=1}^nx_i−n}\right )=n\cdot \ln \left (\theta\right )+\left ({\sum_{i=1}^nx_i−n}\right )\cdot \ln \left (1 -\theta\right )\\ &g'(\theta)=n\cdot \frac{1}{\theta}-\left ({\sum_{i=1}^nx_i−n}\right )\cdot \frac{1}{1 -\theta} \\ &g'(\theta)=0 \Rightarrow n\cdot \frac{1}{\theta}-\left ({\sum_{i=1}^nx_i−n}\right )\cdot \frac{1}{1 -\theta} =0 \Rightarrow n\cdot \frac{1}{\theta}=\left ({\sum_{i=1}^nx_i−n}\right )\cdot \frac{1}{1 -\theta} \Rightarrow n\cdot (1-\theta)=\left ({\sum_{i=1}^nx_i−n}\right )\cdot \theta\\ &\Rightarrow n-n\cdot \theta=\theta\cdot \sum_{i=1}^nx_i−n\cdot \theta\Rightarrow n=\theta\cdot \sum_{i=1}^nx_i \Rightarrow \theta= \frac{n}{\sum_{i=1}^nx_i}\end{align*} Is that correct and complete ? :unsure:

At (c) do we use $\theta= \frac{n}{\sum_{i=1}^nx_i}$ for $n=10$ and $\sum_{i=1}^nx_i=4 + 2 + 7 + 4 + 3 + 1 + 8+ 2 + 4 + 5=40$ ? :unsure:

 

[GJA]

So we have \begin{align*}&g(\theta) = \ln \left (L_x(\theta)\right )=\ln \left (\theta^n(1 -\theta)^{\sum_{i=1}^nx_i−n}\right ) =\ln \left (\theta^n\right )+\ln \left ((1 -\theta)^{\sum_{i=1}^nx_i−n}\right )=n\cdot \ln \left (\theta\right )+\left ({\sum_{i=1}^nx_i−n}\right )\cdot \ln \left (1 -\theta\right )\\ &g'(\theta)=n\cdot \frac{1}{\theta}-\left ({\sum_{i=1}^nx_i−n}\right )\cdot \frac{1}{1 -\theta} \\ &g'(\theta)=0 \Rightarrow n\cdot \frac{1}{\theta}-\left ({\sum_{i=1}^nx_i−n}\right )\cdot \frac{1}{1 -\theta} =0 \Rightarrow n\cdot \frac{1}{\theta}=\left ({\sum_{i=1}^nx_i−n}\right )\cdot \frac{1}{1 -\theta} \Rightarrow n\cdot (1-\theta)=\left ({\sum_{i=1}^nx_i−n}\right )\cdot \theta\\ &\Rightarrow n-n\cdot \theta=\theta\cdot \sum_{i=1}^nx_i−n\cdot \theta\Rightarrow n=\theta\cdot \sum_{i=1}^nx_i \Rightarrow \theta= \frac{n}{\sum_{i=1}^nx_i}\end{align*} Is that correct and complete ? :unsure:

At (c) do we use $\theta= \frac{n}{\sum_{i=1}^nx_i}$ for $n=10$ and $\sum_{i=1}^nx_i=4 + 2 + 7 + 4 + 3 + 1 + 8+ 2 + 4 + 5=40$ ? :unsure:

You're correct on everything; great job!

 

[GJA]

Here is a plot of the likelihood function for part (c), where $n=10$ and $\sum_{i}x_{i} = 40$. As you can see, it's maximized for $\theta=0.25$, as it should be from your derivation in part (b).