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 \(dXj(t)= (\alpha_j- \beta_j Xj(t))dt + \sigma a(Xj(t)) dWj(t)\).
likelihoodNormalestimfix(mu1, mu2, omega, U, V, estimphi, random)current value of the mean of the first effect
current value of the mean of the second effect
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