Tutorial on maximum likelihood estimation

Authors:
In Jae Myung
Affiliations:
Department of Psychology, Ohio State University, 1885 Neil Avenue Mall, Columbus, OH
Venue:
Journal of Mathematical Psychology
Year:
2003

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Abstract

In this paper, I provide a tutorial exposition on maximum likelihood estimation (MLE). The intended audience of this tutorial are researchers who practice mathematical modeling of cognition but are unfamiliar with the estimation method. Unlike least-squares estimation which is primarily a descriptive tool, MLE is a preferred method of parameter estimation in statistics and is an indispensable tool for many statistical modeling techniques, in particular in non-linear modeling with non-normal data. The purpose of this paper is to provide a good conceptual explanation of the method with illustrative examples so the reader can have a grasp of some of the basic principles.