EstParamNormal {mixedsde}

Maximization Of The Log Likelihood In Mixed Stochastic Differential Equations

Description

Maximization of the loglikelihood of the mixed SDE with Normal distribution of the random effects dXj(t)= (\alpha_j- \beta_j Xj(t))dt + \sigma a(Xj(t)) dWj(t), done with likelihoodNormal

Usage

EstParamNormal(U, V, K, random, estim.fix, fixed = 0)

Arguments

U

matrix of M sufficient statistics U

V

list of the M sufficient statistics matrix V

K

number of times of observations

random

random effects in the drift: 1 if one additive random effect, 2 if one multiplicative random effect or c(1,2) if 2 random effects.

estim.fix

1 if the fixed parameter is estimated, when random 1 or 2 , 0 otherwise

fixed

value of the fixed parameter if known (not estimated)

Value

mu

estimated value of the mean

Omega

estimated value of the variance

BIChere

BIC indicator

AIChere

AIC indicator