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MLE biivariate multiple regression
Posted:
Oct 28, 2013 6:50 AM


Hi all,
I'm trying to develop a function in order to estimate the parameter of a bivariate multiple regression via maximumlikelihood estimation method.
The model is as follows:
Y = X*b + a
where Y and a are nx2 matrices, X is a nx5 matrix and b is 5x2 matrix with the coefficients that I need to estimate (n is the number of observation in the dataset).
What I need is a function in order to minimize the negative log likelihood function:
sum(for i=1:n) of [0.5*logcov + 0.5*(YiXi*b)'*cov^1*(YiXi*b)]
I know that I'll need also 1 function for the optimization constraints and 1 function for the variance covariance matrix (cov) estimation.
Does anybody could help me coding this function???
Thanks a lot!
Best
Alessandro



