pointIC: Point AIC

Description Usage Arguments Details Value Author(s) See Also Examples

Description

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

Usage

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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, [email protected]

See Also

pointLik

Examples

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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 March 31, 2020, 5:09 p.m.