how do I compute in Matlab the log likelihood

31 Jan 2021

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Hi!

how do I compute in Matlab the log likelihood after a bayesian VAR estimation with n draws?

Thanks!

Fabrice

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Cris LaPierre on 31 Jan 2021

Edited: Cris LaPierre on 31 Jan 2021

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The equation I used for LL was

LL=(Actual_Output.*log(Fit_values)+(1-Actual_Output).*log(1-Fit_values));
% ref: Mertens, et al. Anesthesiology. 99(2):347-359, August 2003.

Edited: DABIRE Fabrice Anicet Parfait on 31 Jan 2021

Ok thank you.

Actual_Output refers to the data and Fit_values to the estimates?

I'll try it

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