PROC IML; OPTIONS NOCENTER; *SAMPLE COVARIANCE MATRIX; S = {4.0 2.4 2.8, 2.4 4.0 2.0, 2.8 2.0 4.0}; *PREDICTED COVARIANCE MATRIX; SIGM = {4.0 2.4 1.2, 2.4 4.0 2.0, 1.2 2.0 4.0}; RES = S - SIGM; *RESIDUAL COVARIANCE MATRIX; SDET = DET(S); *DETERMINANT OF THE SAMPLE COVARIANCE MATRIX; SIGMDET = DET(SIGM); *DETERMINANT OF THE PREDICTED COVARIANCE MATRIX; LOGS = LOG(SDET); *NATURAL LOG OF SAMPLE MATRIX DETERMINANT; LOGSIGM = LOG(SIGMDET); *NATURAL LOG OF PREDICTED MATRIX DETERMINANT; SIGMINV = INV(SIGM); *INVERSE OF PREDICTED MATRIX; SDIV = S*SIGMINV; *MULTIPLICATION OF SAMPLE MATRIX AND PREDICTED INVERSE; STRACE = TRACE(SDIV); *TRACE OF THE RESULTING SDIV MATRIX; SORDER = NROW(S); *ORDER OF SAMPLE MATRIX = NUMBER OF INDICATORS; *CALCULATION OF FML; FML = ABS((LOGS - LOGSIGM) + STRACE - SORDER); PRINT S; PRINT SIGM; PRINT RES; PRINT SDET; PRINT SIGMDET; PRINT LOGS LOGSIGM; PRINT SDIV; PRINT STRACE; PRINT SORDER; PRINT FML;