maximize log-likelihood function for kalman filter

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Siju
Siju 2011-12-5
Hello, i want to use kalman filter to calculate a proxy for the convenience yield of crude oil. I cannot find a way to maximize the log-likelihood function LogL=-n/2*log(2*pi)-0.5*Σdet(F)-0.5*Σ(v'*F^-1*v). where F and v are matrices which depend on a set of scalar parameters (m,k,l,...etc). I have found a function called maxlik.m at spatial-econometrics but i cannot understand how to use it. Any ideas? Thanks in advance

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