Calculating the AIC- and BIC-value

Description

Calculating the AIC- and BIC- value of the copula density estimation. Therefore, we add the unpenalized log likelihood of the estimation and the degree of freedom, which are

Usage

1
my.IC(penden.env)

Arguments

penden.env

Containing all information, environment of pencopula()

Details

AIC is calculated as AIC(λ)= - 2*l({\bf u},\hat{\bf{b}}) + 2*df(λ)

BIC is calculated as BIC(λ)= 2*l({\bf u},\hat{\bf{b}}) + 2*df(λ)*log(n)

Value

AIC

sum of twice the negative non-penalized log likelihood and mytrace

trace

calculated mytrace as the sum of the diagonal matrix df, which results as the product of the inverse of the penalized second order derivative of the log likelihood with the non-penalized second order derivative of the log likelihood

BIC

sum of twice the non-penalized log likelihood and log(n)

All values are saved in the environment.

Author(s)

Christian Schellhase <cschellhase@wiwi.uni-bielefeld.de>

References

Flexible Copula Density Estimation with Penalized Hierarchical B-Splines, Kauermann G., Schellhase C. and Ruppert, D. (2013), Scandinavian Journal of Statistics 40(4), 685-705.