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mvnrfish

Fisher information matrix for multivariate normal or least-squares regression

Syntax

Fisher = mvnrfish(Data, Design, Covariance, MatrixFormat,
CovarFormat)

Arguments

Data

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.

Design

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 NUMSERIES1, 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.

Covariance

NUMSERIES-by-NUMSERIES matrix of estimates for the covariance of the residuals of the regression.

MatrixFormat

(Optional) Character vector that identifies parameters to be included in the Fisher information matrix:

  • full — Default format. Compute the full Fisher information matrix for both model and covariance parameter estimates.

  • paramonly — Compute only components of the Fisher information matrix associated with the model parameter estimates.

CovarFormat

(Optional) Character vector that specifies the format for the covariance matrix. The choices are:

  • 'full' — Default method. The covariance matrix is a full matrix.

  • 'diagonal' — The covariance matrix is a diagonal matrix.

Description

Fisher = mvnrfish(Data, Design, Covariance, MatrixFormat, CovarFormat) computes a Fisher information matrix based on current maximum likelihood or least-squares parameter estimates.

Fisher is a TOTALPARAMS-by-TOTALPARAMS Fisher information matrix. The size of TOTALPARAMS depends on MatrixFormat and on current parameter estimates. If MatrixFormat = 'full',

TOTALPARAMS = NUMPARAMS + NUMSERIES * (NUMSERIES + 1)/2

If MatrixFormat = 'paramonly',

TOTALPARAMS = NUMPARAMS

    Note   mvnrfish operates slowly if you calculate the full Fisher information matrix.

See Also

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Introduced in R2006a

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