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4 votes
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Different estimates of Least Squares and Maximum Likelihood Estimates under non-normality

Let's simulate data where the outcome y is gamma-distributed, with its scale parameter modeled as an exponential function of x: ...
jay.sf's user avatar
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3 votes

Different estimates of Least Squares and Maximum Likelihood Estimates under non-normality

The ordinary least-squares (OLS) estimator is the maximum likelihood estimator (MLE) assuming Gaussian errors. That is, the OLS estimator is the generalized linear model (GLM) for the Gaussian ...
M. Londschien's user avatar
2 votes

Different estimates of Least Squares and Maximum Likelihood Estimates under non-normality

Here is a non-regression example distinguishing between maximum likelihood and least squares, which might also illustrate the bias-variance trade-off. Suppose you have a sample sized $n$ from $\...
Henry's user avatar
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