AIC.fitsimts: Akaike's Information Criterion

In simts: Time Series Analysis Tools

Akaike's Information Criterion

Description

This function calculates AIC, BIC or HQ for a fitsimts object. This function currently only supports models estimated by the MLE.

Usage

## S3 method for class 'fitsimts'
AIC(object, k = 2, ...)

Arguments

object	A fitsimts object.
k	The penalty per parameter to be used; the default k = 2 is the classical AIC.
...	Optionally more fitted model objects.

Value

AIC, BIC or HQ

Author(s)

Stéphane Guerrier

Examples

set.seed(1)
n = 300
Xt = gen_gts(n, AR(phi = c(0, 0, 0.8), sigma2 = 1))
mod = estimate(AR(3), Xt)

# AIC
AIC(mod)

# BIC
AIC(mod, k = log(n))

# HQ
AIC(mod, k = 2*log(log(n)))

simts documentation built on Aug. 31, 2023, 5:07 p.m.