I am trying to fit a custom function ( generalized Normal distribution type II http://en.wikipedia.org/wiki/Generalized_normal_distribution)to my data and i am using mle function. I wonder what is the method that Matlab uses, is it a search method?
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Ordinarily, the mle function minimizes the negative log-likelihood that you have defined (either as a PDF, or a log PDF, or as the LL) using fminsearch. If you have the Optimization Toolbox, you can tell mle to use fmincon. This is the 'OptimFun' parameter, explained in the help for the mle function.