%CXLOGDENSITY - Multivariate Whittle likelihood

[TomDoan]

This is a generalization of %LogDensity to complex matrices for use in computing a multivariate Whittle log likelihood. This computes the frequency-by-frequency log likelihood. Use %CXLogDensityCV (http://www.estima.com/forum/viewtopic.php?f=7&t=1451) for the concentrated Whittle log likelihood.

cxlogdensity.src

Function file

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Because this is a function, not a procedure, you need to do a SOURCE instruction on the file before you can use it.

%CXLogDensity(cvsigma,cvx)

Arguments

CVSIGMA should be an Hermitian p.d. matrix
CVX is a complex vector with the same dimension as cvsigma

Returns the log density of a N(0,cvsigma) at cvx.