The maximum likelihood estimator is invariant in the sense that for all bijective function , if is the maximum likelihood estimator of then . Let , then is equal to , and the likelihood function in is . And since is the maximum likelihood estimator of ,

hence, is the maximum likelihood estimator of .

For instance, the Bernoulli distribution is with and

Given sample , the likelihood is

The log-likelihood is then

with ICI

Thus, the first order condition

is satisfied when . In order to illustrate, consider the following data

> set.seed(1)

> X=sample(0:1,size=15,replace=TRUE)

> X

[1] 0 0 1 1 0 1 1 1 1 0 0 0 1 0 1

The (negative) log-likelihood is here

> loglik=function(p){

+ -sum(log(dbinom(X,size=1,prob=p)))

+ }

that we can visualize below

> u=seq(0,1,by=.025)

> v=-Vectorize(loglik)(u)

> plot(u,v,type="l",xlab="",ylab="")

From calculations above, we know that the maximum likelihood estimator for is

> mean(X)

[1] 0.5333333

The numerical version is

> (opt=optim(.5,loglik))

$par

[1] 0.5333008

$value

[1] 10.36385

$counts

function gradient

20 NA

$convergence

[1] 0

$message

NULL

Somehow, we were lucky here, because we did not say that the optimization was on the interval . Nevertheless, our estimator for the probability belongs to . In order to insure that the optimal value is in , we can consider some constrained optimization routine

> constrOptim(.5, loglik, grad=NULL,ui=matrix(c(1,-1),2,1), ci=c(0,-1))

$par

[1] 0.5333008

$value

[1] 10.36385

$counts

function gradient

20 NA

$convergence

[1] 0

$message

NULL

$outer.iterations

[1] 2

$barrier.value

[1] 6.909277e-05

On the previous graph, we did – indeed – reach that maximum of the log-likelihood

> abline(v=opt$par,col="red")

An alternative is to consider (as in the exponential family). The log-likelihood is then

since

Here

Thus, the first order condition

is satisfied when

i.e.

From a numerical perspective, we have the same optimal value

> loglik=function(theta){

+ -sum(log(dbinom(X,size=1,prob=exp(theta)/(1+exp(theta)))))

+ }

> (opt=optim(0,loglik))

$par

[1] 0.1335938

$value

[1] 10.36385

$counts

function gradient

20 NA

$convergence

[1] 0

$message

NULL

> exp(opt$par)/(1+exp(opt$par))

[1] 0.5333489

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