get_ic_vals: Calculates the Information Criteria for a VAR, VARX, VARMA...
In ineswilms/bigtime: Sparse Estimation of Large Time Series Models
View source: R/information_criteria.R
get_ic_vals R Documentation
Calculates the Information Criteria for a VAR, VARX, VARMA model
Description
The number of non-zero coefficients are taken as the degrees of freedom.
Use with care for VARMA.
Usage
get_ic_vals(mod, verbose = TRUE)
Arguments
mod
Model estimated Model estimated using sparseVAR,
sparseVARX, or sparseVARMA
verbose
Should information about the optimal selection be printed?
Examples
dat <- simVAR(periods=200, k=2, p=5, decay = 0.01)
mod <- sparseVAR(Y=scale(dat$Y))
ics <- get_ic_vals(mod)
ineswilms/bigtime documentation built on Aug. 24, 2023, 6:57 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
View source: R/information_criteria.R
| get_ic_vals | R Documentation |
Calculates the Information Criteria for a VAR, VARX, VARMA model
Description
The number of non-zero coefficients are taken as the degrees of freedom. Use with care for VARMA.
Usage
get_ic_vals(mod, verbose = TRUE)
Arguments
mod |
Model estimated Model estimated using |
verbose |
Should information about the optimal selection be printed? |
Examples
dat <- simVAR(periods=200, k=2, p=5, decay = 0.01)
mod <- sparseVAR(Y=scale(dat$Y))
ics <- get_ic_vals(mod)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.