In this video, I will try to build an intuition as to where the equations presented in the video on maximum likelihood estimation in the context of the Ornstein-Uhlenbeck process come from. I will work mainly with the normal distribution as it is more familiar and the math is easier, but the concepts are identical regardless of which distribution one uses.
Correction: In the video I said repeatedly that the math involving the calculation of sigma involves multiple chain rules. Taking the log gets rid of that problem, and the calculation is quite straightforward. I have included it in the notebook.
Github: https://github.com/kpmooney/numerical_methods_youtube/blob/master/ornstein_uhlenbeck/Max%20Likelihood%203.ipynb
Max Likelihood 1: https://youtu.be/GdqVY1kZ4XI
Max Likelihood 2: https://youtu.be/3906CWKhLqQ
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