Asymptotic covariance of maximum likelihood estimators
returns
an approximation to the asymptotic covariance matrix of the maximum
likelihood estimators of the parameters for a distribution specified
by the custom probability density function acov
= mlecov(params
,data
,'pdf',pdf
)pdf
.
mlecov
computes a finite difference approximation
to the Hessian of the log-likelihood at the maximum likelihood estimates params
,
given the observed data
, and returns the negative
inverse of that Hessian.
specifies options using name-value pair arguments in addition to any of the
input arguments in previous syntaxes. For example, you can specify the censored
data and frequency of observations.acov
= mlecov(___,Name,Value
)