BIC.UComp: BIC.UComp

In UComp: Automatic Unobserved Components and Other Time Series Models

BIC.UComp

Description

Extract BIC (or SBC) value of UComp object

Usage

## S3 method for class 'UComp'
BIC(object, ...)

Arguments

object	Object of class “UComp”.
...	Additional inputs to function.

Details

Selection criteria for models with different number of parameters, the smaller BIC the better. The formula used here is BIC=(-2 ln(L) + k ln(n)) / 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 BIC(m) and BIC(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)")
BIC(m1)

## End(Not run)

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