R: MLE of the multivariate (log-) normal distribution

MLE of the multivariate (log-) normal distribution {Rfast} | R Documentation

## 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 <mtsagris@yahoo.gr> and Manos Papadakis <papadakm95@gmail.com>.

### 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

[Package Rfast version 2.0.0 Index]