MLE of the multivariate (log-) normal distribution
MLE of the multivariate (log-) normal distribution.
mvnorm.mle(x) mvlnorm.mle(x)
x |
A matrix with numerical data. |
The mean vector, covariance matrix and the value of the log-likelihood of the multivariate normal or log-normal distribution is calculated. For the log-normal distribution we also provide the expected value and the covariance matrix.
A list including:
loglik |
The log-likelihood multivariate distribution. |
mu |
The mean vector. |
sigma |
The covariance matrix. |
m |
The expected mean vector of the multivariate log-normal distribution. |
s |
The expected covariance matrix of the multivariate log-normal distribution. |
Michail Tsagris
R implementation and documentation: Michail Tsagris <mtsagris@yahoo.gr> and Manos Papadakis <papadakm95@gmail.com>.
Kotz, S., Balakrishnan, N., & Johnson, N. L. (2004). Continuous multivariate distributions, Volume 1: Models and applications (Vol. 1). John wiley & sons.
http://isi.cbs.nl/iamamember/CD2/pdf/329.PDF
https://en.wikipedia.org/wiki/Log-normal_distribution#Multivariate_log-normal
x <- matrnorm(100, 4) res<-mvnorm.mle(x) x <- NULL
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