compare_models: Compare multiple models

In fHMM: Fitting Hidden Markov Models to Financial Data

Compare multiple models

Description

This function performs model comparison by comparing multiple fHMM_model objects with respect to

• the number of model parameters,

• the log-likelihood value,

• the AIC value,

• the BIC value.

Usage

compare_models(...)

Arguments

...	A list of one or more objects of class fHMM_model.

Value

A data.frame with models in rows and comparison criteria in columns.

Examples

### 3-state HMM with t-distributions is preferred over 2-state HMM with
### normal distributions for the DAX data based on AIC and BIC
compare_models(dax_model_2n, dax_model_3t)

fHMM documentation built on Oct. 12, 2023, 5:10 p.m.