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Problem in likelihood convergence
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Good evening to everyone, I coded an entire model in Matlab about multivariate time series and I adopted as optimization solver fmincon (because of stationarity conditions) and I used as algortihm the interior point. I write a one step likelihood of the type:
lt=−1/2*[ln|St|+ tr(St^(−1)*Rt)], where St and Rt are matrices that changes for every observation (row) , from 1 to 4683, from which I have to estimate 82 parameters. Whent I use fmincon optimization solver, it happens that the sum of likelihood (sum of lt) goes drastically down and it determines error in the last two parameters estimation end I also get an exitflag of 0. Could anyone suggest me an approach to deal with this issue? Thank you in advance.
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