Asked by chao-hung huang
on 17 Mar 2019

Hi,

i'm trying to fit two correlated model with MVNpdf.

But it seems that the SIGMA of the function cannot set parameters there

mvnpdf(X,mu,SIGMA)

the model as below

%% S for dr_t

%% L for dl_t

Sx=S(1:end-1);Sy=S(2:end);

Lx=L(1:end-1);Ly=L(2:end);

diffL=Ly-Lx;diffS=Sy-Sx;

func=@(theta) -sum(log(mvnpdf([diffL diffS], ...

[theta(1)*(theta(2)-Lx)*delta_t theta(4)*(Lx-Sx)*delta_t], ...

[theta(3) theta(6);theta(5) theta(6)])));

param=fminsearch(func,[0.8 0.01 1 0.2 1 0]);

however, i find it doesn't work

it shows "SIGMA must be a square, symmetric, positive definite matrix" and Error in fminsearch.

Is there any solution ? Thanks !!

Answer by Jeff Miller
on 17 Mar 2019

Accepted Answer

I don't really understand what you are trying to do, but the error message "SIGMA must be a square, symmetric, positive definite matrix" suggests the problem. fminsearch is trying different theta values, and sometimes it tries values for which the sigma matrix [theta(3) theta(6);theta(5) theta(6)] is not positive definite.

Inside your error function (not an anonymous one),you will have to compute a legal SIGMA from whatever values fminsearch suggests. (To do that, you may need to re-parameterize the problem a little bit.) For example, fminsearch might try a negative value for theta(3), but variances have to be positive. So, for example, you might have something like

thiscovar = theta(6);

SIGMA(1,1) = abs(theta(3));

SIGMA(1,2) = thiscovar;

SIGMA(2,1) = thiscovar;

SIGMA(2,2) = abs(theta(5));

and then call mvnpdf with this computed SIGMA.

Sign in to comment.

Opportunities for recent engineering grads.

Apply Today
## 0 Comments

Sign in to comment.