likelihoodNormal: Computation Of The Log Likelihood In Mixed Stochastic Differential Equations
Description
Computation of -2 loglikelihood of the mixed SDE with Normal distribution of the random effects
$dXj(t)= (\alpha_j- \beta_j Xj(t))dt + \sigma a(Xj(t)) dWj(t)$.
Usage
likelihoodNormal(mu, omega, U, V, estimphi, random)
Arguments
mu
current value of the mean of the normal distribution
omega
current value of the standard deviation of the normal distribution
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