get_ic_vals.bigtime.VAR: Calculates the Information Criteria for a model estimated...

In bigtime: Sparse Estimation of Large Time Series Models

Calculates the Information Criteria for a model estimated using sparseVAR

Description

The number of non-zero coefficients are taken as the degrees of freedom.

Usage

## S3 method for class 'bigtime.VAR'
get_ic_vals(mod, verbose = TRUE)

Arguments

mod	Model estimated using sparseVAR
verbose	Should information about the optimal selection be printed?

Value

Returns a list containing

ics	Values of the ICs for all lambdas
mins	Which IC lead to the minimum (the row number)
selected_lambdas	Which lambdas were selected

Examples

dat <- simVAR(periods = 200, k=2, p=5, decay = 0.01)
mod <- sparseVAR(Y=scale(dat$Y))
ics <- get_ic_vals(mod)

bigtime documentation built on Aug. 22, 2023, 1:08 a.m.