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

Compute the Akaike or Bayes information criterion for for a sequence of regression models, such as submodels along a robust least angle regression sequence, or sparse least trimmed squares regression models for a grid of values for the penalty parameter.

1 2 3 4 5 6 7 8 9 10 11 12 |

`object` |
the model fit for which to compute the information criterion. |

`k` |
a numeric value giving the penalty per parameter to be used. The
default is to use |

`fit` |
a character string specifying for which fit to compute the
information criterion. Possible values are |

`...` |
for the |

The information criteria are computed as
*n (log(2 pi) + 1 + log(sigma^2)) + df k*,
where *n* denotes the number of observations, *sigma*
is the robust residual scale estimate, *df* is the number of nonzero
coefficient estimates, and *k* is penalty per parameter. The usual
definition of the AIC uses *k = 2*, whereas the BIC uses
*k = log(n)*. Consequently, the former is used as the
default penalty of the `AIC`

method, whereas the `BIC`

method calls
the `AIC`

method with the latter penalty.

A numeric vector or matrix giving the information criteria for the requested model fits.

Computing information criteria for several objects supplied via the
`...`

argument (as for the default methods of `AIC`

and `BIC`

) is currently not implemented.

Andreas Alfons

Akaike, H. (1970) Statistical predictor identification. *Annals of the
Institute of Statistical Mathematics*, **22**(2), 203–217.

Schwarz, G. (1978) Estimating the dimension of a model. *The Annals of
Statistics*, **6**(2), 461–464.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 | ```
## generate data
# example is not high-dimensional to keep computation time low
library("mvtnorm")
set.seed(1234) # for reproducibility
n <- 100 # number of observations
p <- 25 # number of variables
beta <- rep.int(c(1, 0), c(5, p-5)) # coefficients
sigma <- 0.5 # controls signal-to-noise ratio
epsilon <- 0.1 # contamination level
Sigma <- 0.5^t(sapply(1:p, function(i, j) abs(i-j), 1:p))
x <- rmvnorm(n, sigma=Sigma) # predictor matrix
e <- rnorm(n) # error terms
i <- 1:ceiling(epsilon*n) # observations to be contaminated
e[i] <- e[i] + 5 # vertical outliers
y <- c(x %*% beta + sigma * e) # response
x[i,] <- x[i,] + 5 # bad leverage points
## robust LARS
# fit model
fitRlars <- rlars(x, y, sMax = 10)
# compute AIC and BIC
AIC(fitRlars)
BIC(fitRlars)
## fit sparse LTS model over a grid of values for lambda
frac <- seq(0.2, 0.05, by = -0.05)
fitSparseLTS <- sparseLTS(x, y, lambda = frac, mode = "fraction")
# compute AIC and BIC
AIC(fitSparseLTS)
BIC(fitSparseLTS)
``` |

robustHD documentation built on May 29, 2017, 8:14 p.m.

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