mvnrstd

Evaluate standard errors for multivariate normal regression model

Syntax

[StdParameters,StdCovariance] = mvnrstd(Data,Design,Covariance,CovarFormat)

Arguments

`Data`	`NUMSAMPLES`-by-`NUMSERIES` matrix with `NUMSAMPLES` samples of a `NUMSERIES`-dimensional random vector. If a data sample has missing values, represented as `NaN`s, the sample is ignored. (Use `ecmmvnrmle` to handle missing data.)
`Design`	A matrix or a cell array that handles two model structures: If `NUMSERIES = 1`, `Design` is a `NUMSAMPLES`-by-`NUMPARAMS` matrix with known values. This structure is the standard form for regression on a single series. If `NUMSERIES` ≥ `1`, `Design` is a cell array. The cell array contains either one or `NUMSAMPLES` cells. Each cell contains a `NUMSERIES`-by-`NUMPARAMS` matrix of known values. If `Design` has a single cell, it is assumed to have the same `Design` matrix for each sample. If `Design` has more than one cell, each cell contains a `Design` matrix for each sample.
`Covariance`	`NUMSERIES`-by-`NUMSERIES` matrix of estimates for the covariance of the regression residuals.
`CovarFormat`	(Optional) Character vector that specifies the format for the covariance matrix. The choices are: `'full'` — Default method. The covariance matrix is a full matrix. `'diagonal'` — The covariance matrix is a diagonal matrix.

Description

[StdParameters,StdCovariance] = mvnrstd(Data,Design,Covariance,CovarFormat) evaluates standard errors for a multivariate normal regression model without missing data. The model has the form

$D a t a_{k} \sim N (D e s i g n_{k} \times P a r a m e t e r s, C o v a r i a n c e)$

for samples k = 1, ... , NUMSAMPLES.

mvnrstd computes two outputs:

StdParameters is a NUMPARAMS-by-1 column vector of standard errors for each element of Parameters, the vector of estimated model parameters.
StdCovariance is a NUMSERIES-by-NUMSERIES matrix of standard errors for each element of Covariance, the matrix of estimated covariance parameters.
Note
mvnrstd operates slowly when you calculate the standard errors associated with the covariance matrix Covariance.

Notes

You can configure Design as a matrix if NUMSERIES = 1 or as a cell array if NUMSERIES ≥ 1.

If Design is a cell array and NUMSERIES = 1, each cell contains a NUMPARAMS row vector.
If Design is a cell array and NUMSERIES > 1, each cell contains a NUMSERIES-by-NUMPARAMS matrix.