Maximum likelihood estimator of the ratio

• Dec 9th 2010, 10:28 PM
imjae
Maximum likelihood estimator of the ratio

An urn contains black and white balls. A sample of size n is drawn with replacement. What is the maximum-likelihood estimator of the ratio R of black to white balls in the urn?
Suppose that one draws balls one by one with replacement until a black appears.
Let X be the number of draws required (not counting the last draw).
This operation is repeated n times to obtain a sample X1, X2, ..., Xn.
What is the maximum-likelihood estimator of R on the basis of this sample.
• Dec 9th 2010, 11:25 PM
CaptainBlack
Quote:

Originally Posted by imjae

An urn contains black and white balls. A sample of size n is drawn with replacement. What is the maximum-likelihood estimator of the ratio R of black to white balls in the urn?
Suppose that one draws balls one by one with replacement until a black appears.
Let X be the number of draws required (not counting the last draw).
This operation is repeated n times to obtain a sample X1, X2, ..., Xn.
What is the maximum-likelihood estimator of R on the basis of this sample.

The $X_i$ s are independent identically distributed RVs with:

$p(X_i=k_i)=(1-\rho)^{k_i-1}\rho$

where $\rho=R/(1+R)$

So now write out the likelihood of outcome $k-1, k_2, .., k_n$ ..
• Dec 12th 2010, 07:12 PM
imjae
Quote:

Originally Posted by CaptainBlack
The $X_i$ s are independent identically distributed RVs with:

$p(X_i=k_i)=(1-\rho)^{k_i-1}\rho$

where $\rho=R/(1+R)$

So now write out the likelihood of outcome $k-1, k_2, .., k_n$ ..