Multivariate Linear Regression

The trick is to calculating the covariance and dealing with the missing data.....

Key command:
% Estimate CAPM for each asset separately
[Param, Covar] = ecmmvnrmle(TestData, TestDesign);


% Estimate ideal standard errors for covariance parameters
[StdParam, StdCovar] = ecmmvnrstd(TestData,TestDesign, Covar, 'fisher');

% Estimate sample standard errors for model parameters
StdParam = ecmmvnrstd(TestData, TestDesign, Covar, 'hessian');