mvnorm.mle: MLE of the multivariate (log-) normal distribution

In Rfast: A Collection of Efficient and Extremely Fast R Functions

MLE of the multivariate (log-) normal distribution

Description

MLE of the multivariate (log-) normal distribution.

Usage

mvnorm.mle(x)
mvlnorm.mle(x)

Arguments

x	A matrix with numerical data.

Details

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.

Value

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.

Author(s)

Michail Tsagris

R implementation and documentation: Michail Tsagris <[e-mail]> and Manos Papadakis <[e-mail]>.

References

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

See Also

multinom.mle, dmvnorm, gaussian.nb

Examples

x <- matrnorm(100, 4)
res<-mvnorm.mle(x)
x <- NULL

Rfast documentation built on April 3, 2025, 11:34 p.m.