likelihoodNormal: Computation Of The Log Likelihood In Mixed Stochastic...

In charlottedion/mixedsde: Estimation Methods for Stochastic Differential Mixed Effects Models

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

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

charlottedion/mixedsde documentation built on May 13, 2019, 3:35 p.m.