Description Usage Arguments Value References
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).
1 | likelihoodNormal(mu, omega, U, V, estimphi, random)
|
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 |
V |
vector of the M sufficient statistics V (see |
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. |
L |
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
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