Multivariate normal negative log-likelihood function
Objective = ecmnobj(Data,Mean,Covariance,CholCovariance)
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Objective = ecmnobj(Data,Mean,Covariance,CholCovariance)
computes
the value of the observed negative log-likelihood function over the
data given current estimates for the mean and covariance of the data.
The data matrix has NaN
s for missing observations.
The inputs Mean
and Covariance
are
current estimates for model parameters.
This routine expects the Cholesky decomposition of the covariance matrix as an input. The routine computes the Cholesky decomposition if you do not explicitly specify it.