MLE for endpoints of the range of random variable.

maximum likelihoodparameter estimationstatistical-inferencestatistics

I'm given a pdf of the form

$$f(x;\alpha,\beta) = \frac{3(x-\alpha)^2}{\beta^3}, \quad x \in [\alpha, \alpha + \beta]$$

and I want to find the MLE for $\alpha$ & $\beta$.

I tried finding the likelihood function

$$L = \prod_{i = 1}^n \left(\frac{3(x_i-\alpha)^2}{\beta^3} \right)$$

and used this, together with the condition that $\beta \geq X_{\max} – X_{\min}$ to see that $\hat{\beta}_{MLE}$ must be chosen to $\hat{\beta}_{MLE} = X_{\max} – X_{\min}$ for the likelihood function to be maximized. But when I try the same approach on $\alpha$ (e.g. $\alpha \leq X_{\min}$ and maximize the likelihood function) I seem to get no lower bound on this parameter, indicating that $\hat{\alpha}_{MLE} = -\infty$. This seems off – I would expect that $\hat{\alpha}_{MLE} = X_{\min}$. Can anyone see where I'm off?

Thanks in advance

Best Answer

One important thing that you are probably missing is that $f(x;\alpha,\beta)=0$ when $x\notin [\alpha,\alpha+\beta]$. So, for $L$ to take positive value for your selection of $\alpha,\beta$, you need to have that $\alpha\leq X_{\min}\leq X_{\max}\leq \alpha+\beta$. I'm pretty sure you then saw that $L$ strictly decreasing in $\beta$. This, together with the restriction that $\beta\geq X_{\max}-\alpha$ should make you conclude that optimally $\beta=X_{\max}-\alpha$ (rather than $\beta=X_{\max}-X_{\min}$ which you mention).

You then need to substitute this value into your expression for $L$ and then proceed to maximise the resulting expression with respect to $\alpha$.