January 23rd, 2006, 4:52 am
The problem is like this: Let X be a normal distribution with mean mu and standard deviation sigma. Suppose M samples are drawn from X. However, only N ( N < M ) samples are observable to us, with the property that these N samples have the largest values of the set of M samples. What are the maximum likelihood estimates of mu and sigma? Are they biased or unbiased? Anyone has ideas? Can we use a truncated normal? Thanks.