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Machine Learning by Sergios Theodoridis

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3.10 Maximum Likelihood Method

So far, we have approached the estimation problem as an optimization task around a set of training examples, without paying any attention to the underlying statistics that generates these points. We only used statistics in order to check under which conditions the estimators were efficient. However, the optimization step did not involve any statistical information. For the rest of the chapter, we are going to involve statistics more and more. In this section, the ML method is introduced. It is not an exaggeration to say that ML and LS are two of the major pillars on which parameter estimation is based and new methods are inspired from. The ML method was suggested by Sir Ronald Aylmer Fisher.

Once more, we will ...

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