An Example on Maximum Likelihood Estimates

LEONARDW
LEONARD W.. DEATON
DEATON
Naval Postgraduate
Postgraduate School
School
Monterey, Californio
California

In most introductory courses in nlathematical

introdcuctory courses matlhematical sta- n/2 n
tistics, students see examples and work \vork problems
problems ill in :E I f) - lJiI+1-t' I :E If) - 'lit' I,
which the lnaximum
,,,hich maximum likelihood estimate (IVILE) (MLE) of a ~·=1
i=l i=(n/2)+1
i= (n1/2) +1

parameter
parameter turns out to be either the s[1,mple sample mean,
meani, the (3) becomes
beconles
largest, or
sample variance, or the largest, or the smallest sample )/ n

item. The purpose

purpose of this note is to provide an example
aniexam pIe :E I Yyi -? '777 I ~< :E I Jj -i_
i - i - f) I'
wlhich the IVILE
in \\Thich AILE is the sanlple
sample nledian
median and a simple £=1

proof of this fact.

proof But,
random sample of size nit is taken fronl
Suppose a randonl from aa n n
populatioin with the Laplace distribution f(x;
population \vith f( J~; f))
0) = = :E 1 'J/i
I- - 117 !, = :E I xJ'i -- III
117 I

(!)
(2) exp (- I x - f)6 I ). The mean,
exp (- mean, mode, mediaii
mode, and nledian i=l

of this distribution is f).

0. 1"'1he median is the lVILE
The sample median MLE and
([1] , page 247).
of f)0 ([lJ, n n

Proof: The likelihood

Proof: likelihood function
funiction is :Et1.~
l,yi
I
~
-af) I = :Elxi
Yi -
x-1.(4
Il~i - f)l \ . (4)
(4)
i=l
i=1 i=l

L(0) - ( ) exp j x- I follows.

desired results follo\ys.
The desired
II: Let n be odd.
Case II:
Case odd. Then y(n+l)/2 sample
Y(,2+1)/2 is the sanlple

Now, L is maxinlum
No\,', I.J when
maximum \vhen median. we have
median. As in (2) above, \\Te lave
n
ZKr- I Yi
I 2- - Y(n+l)/2
Y(,+1)/2 I+
+ II Y(n+l)/2
Y(-+1)12 - Yn-j-l-i I
:E I
i=l
fi - f) I
i=l = y-
/ Y22+1-2 < ?
YII1-2 6 + 6 (5)
minimum. It \vill
is minimunl, will be sho\vn
shown that the inequality, for i1~ = 1,
for 1, 2, ... (n +
*, , (n /2- - 1,
+ 1) /2 1, and f)0 any real number.
real number.
n n
Also,
:E I J'i - f) I~ :E I J'i - 117 I, o0 === I Y(n+l)/2
Yn+1)/2 -- Y(n+l)/2
Y(22+U/2 I <~ I Y(n+l)/2
Y(n+1/2 -- f) I (6)
(6)
i=l
i=l i=l
i=l

where
\\There 117 median, holds for
mi2is the sample median, for every value
valtueof By summing in (5), we see that
(5), \ye
Consider t\VO
0. Consider
f). cases.
two cases. (n+l)/2-1

Case I: Let n be even,

even. Let Yl,
yi, '-y,
11'2y,3,
, Y3, •••
. .. , Un be the :E z (I '/Ji
Y~i-- !J(n+1)/2
/1(22+1)/2 I+
+ I Y(n+1)/2
Y1(n+1)/2 -Y- Y,I+1-i
1h2i I)
i=l
observed values of the order statistics. Let '7iim
order statistics, 11 be any
aiiy
real number between
real number twNomiddle
bet\veen the t\yO middle values so that \ve we ((+12)2-1
i=l~~~= (n+l/2)-1

have < :E (I Yi - f) I + I f) - Vn+l-i I ), (7)

i=l

Vl < V2?2<
::;
Yi?Y .. * Un/2
~ ••• ~
<
/2?nh2 177 ~ Y(n/2)+1 ~
<(2.)+l ... ~
< ••• (< Vn' (1)
1) But, Z /1+i - /122+1-2 0l+l0-,+- 7
i=1~~~=
(22+1)/2-2
(n+l)/2-1
In particular, m11may be the salnple
particular, 171 median. By applica-
sample median.
we see that
tion of (1) and the triangle inequality \ve :E I
But,~~~~~~~~~~~~~~~~~~I
'i=l
IY(n+l)/2 - Yn+l-i

I Vi -- 1'?1 I
'711 +
+ I| IIIl -- Y,1+i-i
Yn+1-i I ·n

iJ-
== II Yi Yn+1-1~ II <
'Y - J*Z+I-i Yi -- 0f) I + I f)0-X*+-
~ II 'Vi 0 - Yn+l-i I (2)
(2.) Iii=(n+1)/2+1
E IV(,I+)/2-,IJ,+1-i
:E 1 Y(n+l)/2 - Yi I (8)
/2+1 i=(2+1)

for i = 1,
for 1, 2, ...
..., , n/2 anidf)0 any real
n/2 and real nlunber,
number. anid
and
Upon summing
lIpon we get
summiing in (2) \ve (n+l)/2-1
( +2-1)/2-1
/2
i==(n +1)
n
+

n/2
a /2
i=
:E 1i=
I f) - 'Vn+l-i I :E I Yi -'f) I·
:E
ZX((JiI Yi -- 111 I+
+ I|1-117 - Vn+1-i
n--i-| I )) i=l i=(11+1)/2+1

i=l
21~~~~~~~~~~1' I-Ience,
IHence, using aiid (8)
(6) and
usinig (6) in (7), \ve
(8) in w-ehave
llave,
n/2
n2/2 n n

< Z (Iy(
:E Yi - f) 1+ - !/1I+1-i I),). (3)
+ 18 1-+y,+i- :E I ViY - Y·i - Y(,,+1,,2
YCn+l)/2 I1 ~ :E I Yii -- f)0l I.
i=i
i=1 i=l

N ~.\V, since
Now, siinee N
Nowv, Y(,z+1)/2 = 177
O\Y, after putting Y(n+1)/2 ancd using
III and using (4), the
(4), the
n2
proof is complete.
n/2
tl/2

:E 1117
i=l
- Yn+l-i I :E 1177 - Yi 1 REFER,ENCE
REFERENCE
i=(11/2)+1
i=(n /2)+1
1. Bogg
Hogg and
anid Ctaig,
Cfaig, Introduction
Introduction t·o Nlathemat.ical St.atistics,
to Mathematical Statistics,
and Nlacmillan, (~965).
MAlacmillan,(1965).

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