AIC.UComp: AIC.UComp

In UComp: Automatic Unobserved Components and Other Time Series Models

AIC.UComp

Description

Extract AIC value of UComp object

Usage

## S3 method for class 'UComp'
AIC(object, ..., k = 2)

Arguments

object	Object of class “UComp”.
...	Additional inputs to function.
k	The penalty per parameter to be used.

Details

Selection criteria for models with different number of parameters, the smaller AIC the better. The formula used here is AIC=-2 (ln(L) - k) / n, where ln(L) is the log-likelihood at the optimum, k is the number of parameters plus non-stationary states and n is the number of observations. Mind that this formulation differs from the usual definition that does not divide by n. This makes that AIC(m) and AIC(logLik(m)) give different results, being m an UComp object.

Author(s)

Diego J. Pedregal

See Also

UC, UCmodel, UCvalidate, UCfilter, UCsmooth, UCdisturb, UCcomponents

Examples

## Not run: 
y <- log(AirPassengers)
m1 <- UCmodel(y, model = "llt/equal/arma(0,0)")
AIC(m1)

## End(Not run)

UComp documentation built on May 31, 2023, 7:41 p.m.