There's no difference between a handle to an anonymous function and a handle to a function in an m-file.
I can think of two possible explanations. One is that your m-file has a script in it, not a function. This is suggested by your use of "script" in your question. The m-file must contain a function, and not a script.
Another possibility is that you aren't generating a function handle properly. If your function is in, say, distribution.m (and is on your path), this is how you'd call mle
phat = mle(data, 'pdf', @distribution, ...)
If neither of those thoughts helps, please edit your question to show the line of code that calls mle and also your m-file for the PDF.
For documention, search for "function handle" in the help window.
