Maximum Likelihood Estimation for Learning Populations of Parameters

Consider a setting with N independent individuals, each with an unknown parameter, p(i) is an element of [0, 1] drawn from some unknown distribution P*. After observing the outcomes of t independent Bernoulli trials, i.e., X-i similar to Binomial(t, p(i)) per individual, our objective is to accurately estimate P*. This problem arises in numerous domains, including the social sciences, psychology, healthcare, and biology, where the size of the population under study is usually large while the number of observations per individual is often limited. Our main result shows that, in the regime where t << N, the maximum likelihood estimator (MLE) is both statistically minimax optimal and efficiently computable. Precisely, for sufficiently large N, the MLE achieves the information theoretic optimal error bound of O(1/t) for t < c log N, with regards to the earth mover's distance (between the estimated and true distributions). More generally, in an exponentially large interval of t beyond c log N, the MLE achieves the minimax error bound of O(1/root t log N). In contrast, regardless , of how large N is, the naive "plug-in" estima tor for this problem only achieves the sub-optimal error of Theta(1/root t).