DIC: Deviance Information Criterion (DIC).

In MSGARCH: Markov-Switching GARCH Models

Deviance Information Criterion (DIC).

Description

Method which computes the Deviance Information Criterion (DIC) from a fit object of type MSGARCH_MCMC_FIT created with FitMCMC.

Usage

DIC(fit)

## S3 method for class 'MSGARCH_MCMC_FIT'
DIC(fit)

Arguments

fit	Fit object of type MSGARCH_MCMC_FIT created with FitMCMC.

Details

Computes the Deviance information criterion of Spiegelhalter et al. (2002).

Value

A list with the following elements:

• DIC: Deviance Information Criterion.

• IC: Bayesian Predictive Information Criterion (IC = 2 * pV + D.bar).

• pV: Effective number of parameters (pV = var(D)/2).

• D.bar: Expected value of the deviance over the posterior.

References

Spiegelhalter, David J., et al. (2002). Bayesian measures of model complexity and fit. Journal of the Royal Statistical Society: Series B, 64, 583-639 doi: 10.1111/1467-9868.00353

Examples

# create model specification
spec <- CreateSpec()

# load data
data("SMI", package = "MSGARCH")

# fit the model on data by MCMC
set.seed(123)
fit <- FitMCMC(spec = spec, data = SMI, ctr = list(nburn = 500L, nmcmc = 500L))

# compute DIC
DIC(fit)

MSGARCH documentation built on Dec. 6, 2022, 1:06 a.m.