Now what we really want is the probability distribution of an
estimate of . We can formally get this by use of
Bayes law:
First extend to be defined
for any value of : not necessarily true value
. Introduce:
Probability true length
is measurements and predjudice
T. Then Bayes law of conditional probability is
This is the essence of the maximum likelihood principle.
converts the likelihood which is a function probability of for
fixed into which is
the desired probability distribution of for given
measurements and predjudice T.