Paper 2, Section I, J

Statistical Modelling
Part II, 2015

Let Y1,,YnY_{1}, \ldots, Y_{n} be independent Poisson random variables with means μ1,,μn\mu_{1}, \ldots, \mu_{n}, where log(μi)=βxi\log \left(\mu_{i}\right)=\beta x_{i} for some known constants xiRx_{i} \in \mathbb{R} and an unknown parameter β\beta. Find the log-likelihood for β\beta.

By first computing the first and second derivatives of the log-likelihood for β\beta, describe the algorithm you would use to find the maximum likelihood estimator β^\hat{\beta}. [[ Hint: Recall that if ZPois(μ)Z \sim \operatorname{Pois}(\mu) then

P(Z=k)=μkeμk!\mathbb{P}(Z=k)=\frac{\mu^{k} e^{-\mu}}{k !}

for k{0,1,2,}k \in\{0,1,2, \ldots\}.]