%CXLOGDENSITY—Multivariate Whittle likelihood
Posted: Mon May 07, 2012 2:30 pm
This is a generalization of %LogDensity to complex matrices for use in computing a multivariate Whittle log likelihood. This computes the frequency-by-frequency log likelihood. Use %CXLogDensityCV (http://www.estima.com/forum/viewtopic.php?f=7&t=1451) for the concentrated Whittle log likelihood.
Because this is a function, not a procedure, you need to do a SOURCE instruction on the file before you can use it.
%CXLogDensity(cvsigma,cvx)
Arguments
CVSIGMA should be an Hermitian p.d. matrix
CVX is a complex vector with the same dimension as cvsigma
Returns the log density of a N(0,cvsigma) at cvx.
Because this is a function, not a procedure, you need to do a SOURCE instruction on the file before you can use it.
%CXLogDensity(cvsigma,cvx)
Arguments
CVSIGMA should be an Hermitian p.d. matrix
CVX is a complex vector with the same dimension as cvsigma
Returns the log density of a N(0,cvsigma) at cvx.