Matlab: Determinant of VarianceCovariance matrix

337 views Asked by At

When solving the log likelihood expression for autoregressive models, I cam across the variance covariance matrix Tau given under slide 9 Parameter estimation of time series tutorial. Now, in order to use

fminsearch 

to maximize the likelihood function expression, I need to express the likelihood function where the variance covariance matrix arises. Can somebody please show with an example how I can implement (determinant of Gamma)^-1/2 ? Any other example apart from autoregressive model will also do.

1

There are 1 answers

1
Dima Lituiev On BEST ANSWER

How about sqrt(det(Gamma)) for the sqrt-determinant and inv(Gamma) for inverse?

But if you do not want to implement it yourself you can look at yulewalkerarestimator


UPD: For estimation of autocovariance matrix use xcov

also, this topic is a bit more explained here