Maximum Likelihood Estimator – Fitting the Beta Distribution

beta distributionmathematical-statisticsmaximum likelihood

I'm taking a Mathematical Statistics course and trying to work through a homework problem that reads:

Let Y1, …, Yn be a random sample from a Beta(1,$\theta$) population. Derive the MLE for $\theta$.

Getting started, I set up the likelihood function as:

$$
L(\theta) = \frac{\Gamma(1+\theta)}{\Gamma(1)\Gamma(\theta)}\prod_{i=1}^n(1-Y_i)^{\theta-1}
$$

This simplifies to:

$$
L(\theta) = \theta(1-Y_i)^{n(\theta-1)}
$$

Taking the log:

$$
l(L) = log(\theta) + n(\theta-1)log(1-Y_i)
$$

Take the derivative:

$$
\frac{dl}{d\theta} = \frac{1}{\theta}+nlog(1-Y_i)
$$

Solve for $\theta$:

$$
\theta = \frac{-1}{nlog(1-Y_i)}
$$

But this can't be right as I've not dealt with the summation of $Y_i$. In most examples I've seen, this goes away as a result of the summation being divided by n,b ut in this case I can't find where I've gone wrong.

I appreciate any tips.

Best Answer

I think your likelihood fucntion is wrong, for your Beta distrbution, the $pdf$ is

$$f(y)=\frac{\Gamma(1+\theta)}{\Gamma(1)\Gamma(\theta)}(1-y)^{\theta-1}$$ The likelihood function will be

$L(\theta)=\frac{\Gamma(1+\theta)}{\Gamma(1)\Gamma(\theta)}(1-y_1)^{\theta-1}\frac{\Gamma(1+\theta)}{\Gamma(1)\Gamma(\theta)}(1-y_2)^{\theta-1}...\frac{\Gamma(1+\theta)}{\Gamma(1)\Gamma(\theta)}(1-y_n)^{\theta-1}\\= (\frac{\Gamma(1+\theta)}{\Gamma(1)\Gamma(\theta)})^n\left [ \prod_{i=1}^n(1-y_i)\right]^{\theta-1}$

Now take the log

$l(\theta)=nlog(\frac{\Gamma(1+\theta)}{\Gamma(1)\Gamma(\theta)})+(\theta-1)\sum_{i=1}^nlog(1-y_i)$

I will not go ahead from here.

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