maximize log-likelihood function for kalman filter

7 visualizaciones (últimos 30 días)
Siju
Siju el 5 de Dic. de 2011
Hello, i want to use kalman filter to calculate a proxy for the convenience yield of crude oil. I cannot find a way to maximize the log-likelihood function LogL=-n/2*log(2*pi)-0.5*Σdet(F)-0.5*Σ(v'*F^-1*v). where F and v are matrices which depend on a set of scalar parameters (m,k,l,...etc). I have found a function called maxlik.m at spatial-econometrics but i cannot understand how to use it. Any ideas? Thanks in advance

Respuestas (0)

Categorías

Más información sobre State-Space Control Design and Estimation en Help Center y File Exchange.

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by