mvnrobj

Log-likelihood function for multivariate normal regression without missing data

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Syntax

Objective = mvnrobj(Data,Design,Parameters,Covariance)
Objective = mvnrobj(___,CovarFormat)

Description

Objective = mvnrobj(Data,Design,Parameters,Covariance) computes the log-likelihood function based on current maximum likelihood parameter estimates without missing data. Objective is a scalar that contains the log-likelihood function.

Objective = mvnrobj(___,CovarFormat) computes the log-likelihood function based on current maximum likelihood parameter estimates without missing data using an optional argument.

Input Arguments

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Data sample, specified as an NUMSAMPLES-by-NUMSERIES matrix with NUMSAMPLES samples of a NUMSERIES-dimensional random vector. If a data sample has missing values, represented as NaNs, the sample is ignored. (Use ecmmvnrmle to handle missing data.)

Data Types: double

Model design, specified as a matrix or a cell array that handles two model structures:

  • If NUMSERIES = 1, Design is a NUMSAMPLES-by-NUMPARAMS matrix with known values. This structure is the standard form for regression on a single series.

  • If NUMSERIES ≥ 1, Design is a cell array. The cell array contains either one or NUMSAMPLES cells. Each cell contains a NUMSERIES-by-NUMPARAMS matrix of known values.

    If Design has a single cell, it is assumed to have the same Design matrix for each sample. If Design has more than one cell, each cell contains a Design matrix for each sample.

Data Types: double | cell

Estimates for the parameters of regression model, specified as an NUMPARAMS-by-1 column vector.

Data Types: double

Estimates for the covariance of the residuals of the regression, specified as an NUMSERIES-by-NUMSERIES matrix.

Data Types: double

(Optional) Format for the covariance matrix, specified as a character vector. The choices are:

  • 'full' — This is the default method that computes the full covariance matrix.

  • 'diagonal' — This forces the covariance matrix to be a diagonal matrix.

Data Types: char

Output Arguments

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Log-likelihood function, returned as scalar.

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Version History

Introduced in R2006a

See Also

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