maximize log-likelihood function for kalman filter

7 ビュー (過去 30 日間)
Siju
Siju 2011 年 12 月 5 日
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

回答 (0 件)

カテゴリ

Help Center および File ExchangeState-Space Control Design and Estimation についてさらに検索

Community Treasure Hunt

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

Start Hunting!

Translated by