As above the likelihood is
(34) |
so the log-likelihood is
(35) |
where is a constant. Differentiating and equating to zero gives
(36) |
so that
(37) |
and a second differentiation gives
(38) |
giving, in this case, and .
A histogram of 1000 samples from is shown in figure 3. While not a good density estimator, a histogram is useful for the gross comparison of two samples needed here. Note that this histogram appears to come from a distribution with a smaller standard deviation than that shown in figure 1; the predictive sample is a safer estimate as it allows for the uncertainty in the point density estimation.
danny 2009-07-23