likelihoodNormalestimfix {mixedsde} | R Documentation |
Likelihood Function When The Fixed Effect Is Estimated
Description
Computation of -2 loglikelihood of the mixed SDE with Normal distribution of the random effects when the fixed effect is estimated for random 1 or 2
dXj(t)= (\alpha_j- \beta_j Xj(t))dt + \sigma a(Xj(t)) dWj(t)
.
Usage
likelihoodNormalestimfix(mu1, mu2, omega, U, V, estimphi, random)
Arguments
mu1 |
current value of the mean of the first effect |
mu2 |
current value of the mean of the second effect |
omega |
current value of the standard deviation of the normal distribution |
U |
vector of the M sufficient statistics U (see |
V |
vector of the M sufficient statistics V (see |
estimphi |
vector or matrix of estimators of the random effects |
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. |
Value
L |
value of -2 x loglikelihood |
References
Maximum likelihood estimation for stochastic differential equations with random effects, M. Delattre, V. Genon-Catalot and A. Samson, Scandinavian Journal of Statistics 2012, Vol 40, 322–343