Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2006/ii/paper-2/5i/solution

Independence and the Poisson probabilities give the log-likelihood
Its score and curvature are
If some , this is strictly concave. A finite maximum is therefore the unique zero of the score when such a zero exists. Newton iteration gives
Start from a finite value, compute the score and curvature, and iterate until both the score and step are small. A line search that shortens a step until the likelihood increases improves robustness. Strict concavity identifies any converged stationary point as the global maximum. A finite root need not exist, for example when all observations are zero and all , in which case the likelihood supremum is at . If all , the parameter is unidentifiable.

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