[Math] Maximum Likelihood Estimate for an Unknown Distribution

maximum likelihoodstatistics

Suppose that $X_1,\dots,X_n$ are i.i.d. random variables having a CDF (cumulative distribution function) $F$. For each fixed $x$, I am asked to determine the maximum likelihood estimate of $F(x)$.

I am having difficulty understanding what the question is asking. For one, I do not see how to recover a probability density (or mass) function from $F$, let alone how to maximize the likelihood function without a given parameter space.

If anyone could shed some light on this it would be greatly appreciated.

Edit

I now understand that I should take the MLE will be the empirical distribution. However, I am still having difficulty proving this directly from the definition.

Best Answer

Here the CDF is the thing you are estimating. You can think of its values as an infinite number of parameters (in a constrained space that says they need to comprise a right-continuous, nondecreasing function, between zero and yada yada yada).

Let's say we get $X_1=3$ and $X_2=4.$ We need to find the CDF that maximizes the probability of this data. It's pretty clear that anything other than an atom at $3$ and an atom at $4$ is a waste of real estate. Let $p$ be the mass at $3$ and $(1-p)$ the mass at $4$. Then we want to maximize $p(1-p),$ so we get $p=1/2$ (What else could it have been?)

This generalizes to putting $1/n$ mass at each of the points $X_1,\ldots, X_n.$