Computation of -2 loglikelihood of the mixed SDE with Normal distribution of the random effects \(dXj(t)= (\alpha_j- \beta_j Xj(t))dt + \sigma a(Xj(t)) dWj(t)\).
likelihoodNormal(mu, omega, U, V, estimphi, random)current value of the mean of the normal distribution
current value of the standard deviation of the normal distribution
vector of the M sufficient statistics U (see UV)
vector of the M sufficient statistics V (see UV)
vector or matrix of estimators of the random effects
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 of -2 x loglikelihood
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