MATLAB: How to prevent underflow of MVNPDF in Statistics Toolbox 6.0 (R2007a)

Question

I want to prevent underflow in MVNPDF in Statistics Toolbox 6.0 (R2007a). Currently MVNPDF returns exp(loglikelihood), the exponent of the log likelihood function, but that value can easily underflow.

Answer 1

This feature is not available in Statistics Toolbox 6.0 (R2007a). However, the function can be modified as follows.

Split the last line of the function into two steps:

logl = -0.5*quadform - logSqrtDetSigma - d*log(2*pi)/2;
y = exp(logl);

and change the function signature

function [y logl] = mvnpdf(X, Mu, Sigma)