Solved – MLE estimate of $\beta/\sigma$ – Linear regression

maximum likelihoodnormal distributionregressionself-study

I have a question regarding Maximum Likelihood Estimate in linear regression model without intercept. I have a model:
$$Y_i=\beta X_i +\epsilon_i, \ \ i=1,…,n$$
where $\epsilon_i$ are i.i.d. $N(0, \sigma^2)$

I concluded that the log-likelihood function looks like this:
$$l(\beta,\sigma)=\sum_{i=1}^n \left( \ln(\frac{1}{\sqrt{2\pi}}) -\ln(\sigma) -\frac{(y_i-(\beta x_i))^2}{2\sigma^2} \right)$$
Easy part of this question is MLE of $\sigma$ and MLE of $\beta$.
But what I really don't know how to evaluate is MLE of $\frac{\beta}{\sigma}$.
What crossed my mind is to only set MLE of $\frac{\beta}{\sigma}=\frac{\beta_{MLE}}{\sigma_{MLE}}$.
But I believe that this is not the right solution.

Any hints?

Best Answer

A maximum likelihood estimator has the nice property that it is invariant under transformations. This means that if $\theta_{MLE}$ is the MLE for $\theta$, then for a function $g(\theta)$, $g(\theta_{MLE})$ is the MLE for $g(\theta)$.

This can be directly applied to your problem. Hint: what is the MLE for $(\beta, \sigma)$?

Related Question