gen_likelihood_stats: Generate likelihood statistics (AIC, AICC, BIC, etc.)

In bcmonsell/airutilities: Support routines for fractional airline decomposition routines in the rjd3highfreq package

Generate likelihood statistics (AIC, AICC, BIC, etc.)

Description

Generate likelihood statistics that include the Jacobian adjustment for transformations as done in the X-13ARIMA-SEATS program

Usage

gen_likelihood_stats(
  Y,
  Lnlkhd,
  Nintvl = 2,
  Np = 2,
  Adj = NULL,
  Logit = FALSE,
  Trans = TRUE,
  Lam = 0,
  Eick = NULL
)

Arguments

Y	numeric vector, original time series.
Lnlkhd	numeric scalar, maximized log likelihood of model.
Nintvl	Integer scalar, Number of differences in model used. Default is 2.
Np	Integer scalar, Number of parameters in model used. Default is 2.
Adj	numeric vector, prior adjustment factor time series. Default is NULL, which indicates there is no prior adjustment.
Logit	logical scalar, if TRUE the logit transformation is used. Default is FALSE.
Trans	logical scalar, if TRUE a Box-Cox transform is used. Default is TRUE
Lam	numeric scalar, Box-Cox transformation parameter. Default is 0 (Log transform).
Eick	numeric scalar, weighting paramter for Empiracle Information Criterion. Default is NULL (EIC not computed).

Value

List of likelihood diagnostics and related estimates (ll = log likelihood, jacadj = jacobian transformation adjustment, lladj = adjusted likelihood, nobs = number of observations, neffective = effective number of observations, nparams = number of parameters, df = Nspobs - Nintvl - Np, aic = AIC, aicc = AICC, hannanquinn = Hannan Quinn, bic = BIC, bic2 = BIC2, EIC = Empiracle Information Criterion)

Examples

ic_default_log_est <- 
   rjd3highfreq::fractionalAirlineEstimation(log(ic_obs), periods=c(365.25/7), 
                                             x=ic_default_matrix)
ic_default_log_lkhd_stat <- 
   gen_likelihood_stats(ic_obs, 
                        Lnlkhd = ic_default_log_est$likelihood$ll, 
                        Nintvl = 2, 
                        Np     = ic_default_log_est$likelihood$nparams)
ic_default_log_aicc <- ic_default_log_lkhd_stat$aicc

bcmonsell/airutilities documentation built on May 16, 2022, 3:23 p.m.