DIC.mtar: Deviance Information Criterion (DIC) for objects of class...

In mtarm: Bayesian Estimation of Multivariate Threshold Autoregressive Models

Deviance Information Criterion (DIC) for objects of class mtar

Description

This function computes the Deviance Information Criterion (DIC) for objects of class mtar.

Usage

## S3 method for class 'mtar'
DIC(...)

Arguments

...	one or several objects of the class mtar.

Value

A numeric matrix containing the DIC values corresponding to each mtar object in the input.

See Also

WAIC

Examples

###### Example 1: Returns of the closing prices of three financial indexes
data(returns)
fit1a <- mtar(~ COLCAP + BOVESPA | SP500, data=returns, row.names=Date,
              subset={Date<="2016-03-14"}, dist="Student-t",
              ars=ars(nregim=3,p=c(1,1,2)), n.burnin=2000, n.sim=3000,
              n.thin=2)
fit1b <- update(fit1a,dist="Slash")
fit1c <- update(fit1a,dist="Laplace")
DIC(fit1a,fit1b,fit1c)

###### Example 2: Rainfall and two river flows in Colombia
data(riverflows)
fit2a <- mtar(~ Bedon + LaPlata | Rainfall, data=riverflows, row.names=Date,
              subset={Date<="2009-04-04"}, dist="Laplace",
              ars=ars(nregim=3,p=5), n.burnin=2000, n.sim=3000, n.thin=2)
fit2b <- update(fit2a,dist="Slash")
fit2c <- update(fit2a,dist="Student-t")
DIC(fit2a,fit2b,fit2c)

###### Example 3: Temperature, precipitation, and two river flows in Iceland
data(iceland.rf)
fit3a <- mtar(~ Jokulsa + Vatnsdalsa | Temperature | Precipitation,
              data=iceland.rf, subset={Date<="1974-12-21"}, row.names=Date,
              ars=ars(nregim=2,p=15,q=4,d=2), n.burnin=2000, n.sim=3000,
              n.thin=2, dist="Slash")
fit3b <- update(fit3a,dist="Laplace")
fit3c <- update(fit3a,dist="Student-t")
DIC(fit3a,fit3b,fit3c)

mtarm documentation built on Jan. 12, 2026, 1:07 a.m.