likelihoodNormalestimfix: Likelihood Function When The Fixed Effect Is Estimated

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 when the fixed effect is estimated for random 1 or 2 dXj(t)= (α_j- β_j Xj(t))dt + σ a(Xj(t)) dWj(t).

Usage

likelihoodNormalestimfix(mu1, mu2, omega, U, V, estimphi, random)

Arguments

mu1	current value of the mean of the first effect
mu2	current value of the mean of the second effect
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.