hdBIC: High-dimensional BIC score

In DisaggregateTS: High-Dimensional Temporal Disaggregation

High-dimensional BIC score

Description

This function calculates a BIC score that performs better than the ordinary BIC in high-dimensional scenarios. It uses the variance estimator given in \insertCiteyu2019estimating;textualDisaggregateTS.

Usage

hdBIC(X, Y, covariance, beta)

Arguments

X	Aggregated indicator series matrix that has been GLS rotated (an n_l \times p matrix).
Y	Low-frequency response vector that has been GLS rotated (an n_l \times 1 vector).
covariance	Aggregated AR covariance matrix (an n_l \times n_l matrix).
beta	Estimate of the regression coefficients (a p \times 1 vector).

Value

      The BIC score for model comparison.

References

\insertAllCited

DisaggregateTS documentation built on Oct. 31, 2024, 5:09 p.m.