AIC.arfima: Information criteria for 'arfima' objects

In JQVeenstra/arfima: Fractional ARIMA (and Other Long Memory) Time Series Modeling

Information criteria for arfima objects

Description

Computes information criteria for arfima objects. See AIC for more details.

Usage

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

Arguments

object	An object of class "arfima". Note these functions can only be called on one object at a time because of possible multimodality.
...	Other models fit to data for which to extract the AIC/BIC. Not recommended, as an arfima object can be multimodal.
k	The penalty term to be used. See AIC.

Value

The information criteria for each mode in a vector.

Author(s)

JQ (Justin) Veenstra

Examples

set.seed(34577)
sim <- arfima.sim(500, model = list(theta = 0.9, phi = 0.5, dfrac = 0.4))
fit1 <- arfima(sim, order = c(1, 0, 1), cpus = 2, back=TRUE)
fit2 <- arfima(sim, order = c(1, 0, 1), cpus = 2, lmodel = "g", back=TRUE)
fit3 <- arfima(sim, order = c(1, 0, 1), cpus = 2, lmodel = "h", back=TRUE)

AIC(fit1)
AIC(fit2)
AIC(fit3)

JQVeenstra/arfima documentation built on Jan. 31, 2024, 12:11 p.m.