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I'd really love your help with this one.

In a survey the probability that a person wouldn't like to answer on it is $p$. The survey company calls people until it meets a person who doesn't like to answer it.

First I was asked to compute the geometric likelihood function $L(p;x_1=0,x_2=0,..x_5=1)$ and draw a graph of it as a function of $p$ , and I did it.

Now I need to find the relation between the expected value of the number of people that would answer the survey until the first one who won't answer ($\mu$), and to use it to find Maximum likelihood to $\mu$. How do I find the requested relation? I can't remember from probability classes how to find the above expected value. can you please remind me/ give me a hint?

Thanks a lot!

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    @saz Nothing, Thanks a lot.2012-12-15

1 Answers 1

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Let $p_n$ the probability that the $n$-th person doesn't like to answer the survey. Then $p_n$ is given by

$p_n = \underbrace{(1-p)^{n-1}}_{\text{the first n-1 answered}} \cdot p$

The expectation value $\mu$ is defined as

$\mu := \sum_{n=1}^\infty p_n \cdot n = \sum_{n=1}^\infty (1-p)^{n-1} \cdot p \cdot n = p \cdot \frac{d}{dp} \left( -\sum_{n=1}^\infty (1-p)^n \right) \\ = -p \cdot \frac{d}{dp} \frac{1}{1-(1-p)} = -p \cdot \left(- \frac{1}{p^2} \right) = \frac{1}{p}$

where we used the geometric series.

Now we can calculate the maximum likelihood to $\mu$: Let $x_1,\ldots,x_n$ (independent) observations, then the likelihood is given by

$\mathcal{L}_p(x_1,\ldots,x_n) = \prod_{j=1}^n p \cdot (1-p)^{x_j-1} = p^n \cdot (1-p)^{-n} \cdot (1-p)^{\sum_{j=1}^n x_j} \\ \Rightarrow \ell_p(x_1,\ldots,x_n) := \log \mathcal{L}_p(x_1,\ldots,x_n) = n \cdot \log p - n \cdot \log(1-p) + \sum_{j=1}^n x_j \cdot \log(1-p)$

We want to find $\hat{p}$ such that

$\ell_{\hat{p}}(x_1,\ldots,x_n)=\max_{p \in [0,1]} \ell_p(x_1,\ldots,x_n)$

Assume that $\sum_{j=1}^n x_j \notin \{0,n\}$. Then

$\frac{d}{dp} \ell_p(x_1,\ldots,x_n) = \frac{n}{p} + \frac{1}{1-p} \cdot \left(n- \sum_{j=1}^n x_j \right) \stackrel{!}{=} 0 \\ \Leftrightarrow \hat{p} = \left( \frac{\sum_{j=1}^n x_j}{n} \right)^{-1}$

This means that

$\ell_{\hat{p}}(x_1,\ldots,x_n)=\max_{p \in (0,1)} \ell_p(x_1,\ldots,x_n)$

You still have to check the boundary (i.e. $p=0$ and $p=1$) and the cases $\sum_{j=1}^n x_j = 0$ ($\Leftrightarrow \forall j: x_j=0$) resp. $\sum_{j=1}^n x_j = n$ ($\Leftrightarrow \forall j: x_j = 1$), but that's straight-forward.