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Thread Subject:
negative log-likelihood for a multivariate distribution?

Subject: negative log-likelihood for a multivariate distribution?

From: Jose

Date: 14 Jan, 2009 13:05:04

Message: 1 of 2

Can anyone help me with it:

I found in Matlab the Negative log-likelihood function:

normlike...negative log-likelihood for a univariate distribution, i.e data is a vector

I am interested in a function to calculate:

the negative log-likelihood for a multivariate distribution, i.e data is a matrix.

Thanks in advance

Jose.

Subject: negative log-likelihood for a multivariate distribution?

From: Jose

Date: 14 Jan, 2009 14:14:02

Message: 2 of 2

"Jose " <jose.l.vega@gmail.com> wrote in message <gkknu0$nv$1@fred.mathworks.com>...
> Can anyone help me with it:
>
> I found in Matlab the Negative log-likelihood function:
>
> normlike...negative log-likelihood for a univariate distribution, i.e data is a vector
>
> I am interested in a function to calculate:
>
> the negative log-likelihood for a multivariate distribution, i.e data is a matrix.
>
> Thanks in advance
>
> Jose.
>
I found it, it works perfectly.
ecmnobj
Thanks Google.

clc
clear all
Data=randn(1000,2);
Mean=mean(Data)
Covariance=cov(Data)
CholCovar=chol(Covariance)

objective=ecmnobj(Data,Mean,Covariance,CholCovar)

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