normalMLE.m

Version 1.2.0.0 (2.71 KB) by Tyler Ransom
Estimates heteroskedastic normal linear regression model via MLE
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Updated 30 Sep 2014

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This function estimates a linear regression model with errors assumed to be normal. The user can specify heteroskedasticity in the error term, weights for the estimation, and restrictions on parameter values. The analytical gradient is provided for increased speed and numerical precision.
Note that the error distribution is parameterized with standard deviations and not variances.

Cite As

Tyler Ransom (2025). normalMLE.m (https://www.mathworks.com/matlabcentral/fileexchange/47927-normalmle-m), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Linear and Nonlinear Regression in Help Center and MATLAB Answers
Acknowledgements

Inspired by: Apply Restrictions

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Version Published Release Notes
1.2.0.0

Added optional estimation weights to the function.
1.1.0.0

Added code to check conformability between input data and parameter vector.
1.0.0.0