likelihoodNormalestimfix: 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
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