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)= (α_j- β_j Xj(t))dt + σ a(Xj(t)) dWj(t).

Usage

1
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

U

vector of the M sufficient statistics U (see UV)

V

vector of the M sufficient statistics V (see UV)

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

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