自己在做参数估计的时候, 忽然发现有些最基本的基础问题还是是是而非的, 由此及彼, 希望对大家有所帮助.

Tutorial on maximum likelihood estimation
In Jae Myung*
Department of Psychology, Ohio State University, 1885 Neil Avenue Mall, Columbus, OH 43210-1222, USA
Received 30 November 2001; revised 16 October 2002

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.

2003 Elsevier Science (USA). All rights reserved.