Maximum Likelihood Estimation

In this post, the common matrix notation used on this website will be thoroughly explained. The importance for learning how to understand the matrix representation is so that it’s possible to follow along step-by-step the meaning of the various formulas.

1. The Benefit of Matrix Representation
2. The Style of Notation Used on this Website
3. Extensions from Univariate to Multivariate
4. Applications of the Matrix Format

The Benefit of Matrix Representation

References:

[1] Applied Multivariate Statistical Analysis 6th Ed., Johnson, Wichern

[2] https://en.wikipedia.org/wiki/Matrix_(mathematics)

[3] https://stattrek.com/matrix-algebra/matrix-notation.aspx

[4] https://en.wikipedia.org/wiki/Mahalanobis_distance

[5] https://en.wikipedia.org/wiki/Multivariate_normal_distribution

https://stats.stackexchange.com/questions/112451/maximum-likelihood-estimation-mle-in-layman-terms