4 ms·
The post this is a reply to was correct, and this is not. E.g. a simple counter example is finding the autocorrelation parameter in an AR(1) model for an econom
by conjectures 8y ago
The post this is a reply to was correct, and this is not. E.g. a simple counter example is finding the autocorrelation parameter in an AR(1) model for an economic time series. Under your suggested definition of MLE this can't be done, which is simply not the case.
In fact, not approaching the more general case is liable to confuse learners as they may think that independence assumption is somehow baked into MAP/MLE, which it is not.
- nerdponx 8y agoI never suggested a definition of MLE. You need independence to use the "L = Π P(y | θ)" formulation, full stop.
- stilley2 8y agoTrue. But that form is a convenience, not a requirement.
- conjectures 8y agoYes, you do need independence to assume the likelihood factorises. You do not need independence to find a MLE/MAP.