MATLAB PROGRAMS FOR COMPLETE AND INCOMPLETE DATA EXACT VARMA LIKELIHOOD AND ITS GRADIENT

Kristjan Jonasson, Dept. of Computer Science, University of Iceland, 2007


DIRECTORY STRUCTURE
After unzipping the directory structure of the package should be:

Directory               Contents
.../vauto               The main functions varma_llm, varma_llc, var_ll and
                        varma_sim; example_driver; demorun.m with associated
                        data file temperature.dat; this readme-file
.../vauto/private       Private subfunctions of the main functions
.../vauto/test          The test program suite
.../vauto/test/compare  Files for comparison with AS-311
.../vauto/doc           Documentation:
                          demorun.pdf with source code of demorun.m
                          demorunoutput.pdf with output from demorun.m
                          manuscripts submitted to TOMS on 26-Sep-2007 (2nd re-
                            submission, earlier submissions 20-08-06 & 29-03-07)

INSTALLATION
To use the package, add the root directory .../vauto to the Matlab search path
with either of the Matlab commands addpath (for temporary setting) or pathtool.

EXAMPLE DRIVER
The m-file example_driver.m demonstrates simple calls to the main functions.

DEMONSTRATION OF PARAMETER ESTIMATION
Install either Matlab's optimzation toolbox (which contains fminunc.m) or
immoptibox (which contains ucminf.m) available from http://imm.dtu.dk/~hbn.
Then run demorun('ucminf') or demorun('fminunc') as apropriate. 

TESTING
To carry out primary tests, that test the four main functions, cd into the
.../vauto/private directory, add .../vauto/test (as well as .../vauto) to the
Matlab search path and run TEST_PRIMARY. To include tests of the subfunctions,
run TEST_ALL. The reason that the private directory must be current for running
the tests is that it is not possible to add a folder named "private" to the
search path.

COMPARISON WITH AS311
Details of comparison with the algorithm AS-311 alias jam197.for (a previously
published program for complete data varma likelihood calculation) are given in
the subdirectory test/compare.
