第六讲 极大似然估夹缕.docVIP

第六讲 极大似然估计 The Likelihood Function and Identification of the Parameters (极大似然函数及参数识别) 1、似然函数的表示 在具有n个观察值的随机样本中，每个观察值的密度函数为。由于n个随机观察值是独立的，其联合密度函数为 函数被称为似然函数，通常记为，或者。 与Greene书中定义的区别 The probability density function, or pdf for a random variable y, conditioned on a set of parameters, , is denoted . This function identifies the data generating process that underlies an observed sample of data and, at the same time, provides a mathematical description of the data that the process will produce. The joint density of n independent and identically distributed (iid) observations from this process