Example) I have no idea where I found this example, Sorry!
Let Y1, Y2, …, Yn denotes random sample. f(y|\theta)= (\theta+1)y^\theta, 0<y<1, -1<\theta, and f(y|\theta)=0 otherwise.
a) \hat{\theta}_{MoM}
b) \hat{\theta}_{MLE}?
\triangleright Solution (a)
E(\theta)=\int_{0}^{1}y(\theta +1)y^\theta dy=\int_{0}^{1}(\theta +1)y^{\theta +1}dy =\frac{\theta +1}{\theta +2}\Rightarrow \bar{y}=\frac{\theta +1}{\theta +2}
\therefore \theta_{MoM}=\frac{2\bar{y}-1}{1-\bar{Y}}
\triangleright Solution (b)
L(\theta|y)= \prod_{i}^{n}=f(y_{i}|\theta)=\prod_{i}^{n}(\theta+1)y_{i}^\theta=(\theta+1)^n\cdot(\prod y_{i})^\theta
Now we take a log to find maximum likelihood.
l(\theta)=nlog(\theta+1)+ \theta\sum logy_{i}
l'(\theta)=\frac{n}{\theta+1}+\sum y_{i} = 0 (set to 0 to find a maximum)
\therefore \hat{\theta}_{MLE}=\frac{-n}{\sum log y_{i}}-1
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