pointIC: Point AIC

In greybox: Toolbox for Model Building and Forecasting

Point AIC

Description

This function returns a vector of AIC values for the in-sample observations

Usage

pAIC(object, ...)

pAICc(object, ...)

pBIC(object, ...)

pBICc(object, ...)

Arguments

object	Time series model.
...	Some stuff.

Details

This is based on pointLik function. The formula for this is: pAIC_t = 2 * k - 2 * T * l_t , where k is the number of parameters, T is the number of observations and l_t is the point likelihood. This way we preserve the property that AIC = mean(pAIC).

Value

The function returns the vector of point AIC values.

Author(s)

Ivan Svetunkov, [e-mail]

See Also

pointLik

Examples

xreg <- cbind(rnorm(100,10,3),rnorm(100,50,5))
xreg <- cbind(100+0.5*xreg[,1]-0.75*xreg[,2]+rnorm(100,0,3),xreg,rnorm(100,300,10))
colnames(xreg) <- c("y","x1","x2","Noise")
ourModel <- alm(y~x1+x2,as.data.frame(xreg))

pAICValues <- pAIC(ourModel)

mean(pAICValues)
AIC(ourModel)

greybox documentation built on Sept. 16, 2023, 9:07 a.m.