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Let $X_1, ..., X_n$ be iid with one of two PDFs.

If $\theta = 0$, then

$f(x; \theta) = 1, \ 0 < x < 1$.

if $\theta = 1$, then

$f(x; \theta) = \frac{1}{2\sqrt{x}}, \ 0 < x < 1$.

What is the MLE of $\theta$?

I can define the likelihood function in terms of indicator functions for $\theta$, but then I don't know how to use differentiation to maximize it. Please help.

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  • $\begingroup$ Is $\theta$ a parameter? It looks like a latent variable. $\endgroup$ – Ben Bolker Nov 4 '18 at 1:42
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    $\begingroup$ "Maximize" doesn't automatically imply "differentiate". $\endgroup$ – Glen_b Nov 4 '18 at 5:33
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For all $0 \leqslant x \leqslant 1$ the logarithm of the sampling density is:

$$\ln f(x|\theta) = \begin{cases} 0 & & \text{for } \theta=0, \\[6pt] -\ln 2 - \tfrac{1}{2} \ln x & & \text{for } \theta=1. \\[6pt] \end{cases}$$

So you have the log-likelihood function:

$$\ell_\mathbf{x}(\theta) = \begin{cases} 0 & & \text{for } \theta=0, \\[6pt] -n \ln 2 - \tfrac{1}{2} \sum \ln x_i & & \text{for } \theta=1. \\[6pt] \end{cases}$$

This is a binary function (only two possible inputs) and so you maximise it by comparing the outputs for those two inputs. (There is no differentiation involved.) Define $T(\mathbf{x}) \equiv \tfrac{1}{n} \sum |\ln x_i|$, which is the average absolute logarithm of the data (this is a sufficient statistic). Maximising this function yields the MLE:

$$\begin{equation} \begin{aligned} \hat{\theta}(\mathbf{x}) &= \mathbb{I} \Big( \ell_\mathbf{x}(1) > \ell_\mathbf{x}(0) \Big) \\[6pt] &= \mathbb{I} \Big( -n \ln 2 - \tfrac{1}{2} \sum \ln x_i > 0 \Big) \\[6pt] &= \mathbb{I} \Big( - \tfrac{1}{2} \sum \ln x_i > n \ln 2 \Big) \\[6pt] &= \mathbb{I} \Big( \tfrac{1}{n} \sum |\ln x_i| > 2 \ln 2 \Big) \\[6pt] &= \mathbb{I} ( T(\mathbf{x}) > 2 \ln 2 ). \\[6pt] \end{aligned} \end{equation}$$

(Note that the MLE is not uniquely determined for the case where $T(\mathbf{x}) = 2 \ln 2$. In this case either parameter value gives the same log-likelihood value. This means that you can use non-strict inequality in the above MLE formula and this still gives a valid MLE.)

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  • $\begingroup$ How did you know to maximize $T(x)$?? $\endgroup$ – MSE Nov 5 '18 at 2:24
  • $\begingroup$ How did you obtain the first line for $\hat{\theta}(x)$? $\endgroup$ – MSE Nov 5 '18 at 2:25
  • $\begingroup$ @MSE: I have added a new first line to this equation to show you - all I am doing is setting $\hat{\theta} = 1$ if $\ell_\mathbf{x}(1) > \ell_\mathbf{x}(0)$, and setting it to zero otherwise. As to using $T(\mathbf{x})$, that is just a convenient way to express the final result in terms of a simple sufficient statistic. $\endgroup$ – Ben Nov 5 '18 at 4:20

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