DIC {MSGARCH} | R Documentation |
Deviance Information Criterion (DIC).
Description
Method which computes the Deviance Information Criterion (DIC) from a fit object of type
MSGARCH_MCMC_FIT
created with FitMCMC
.
Usage
DIC(fit)
## S3 method for class 'MSGARCH_MCMC_FIT'
DIC(fit)
Arguments
fit |
Fit object of type |
Details
Computes the Deviance information criterion of Spiegelhalter et al. (2002).
Value
A list with the following elements:
-
DIC
: Deviance Information Criterion. -
IC
: Bayesian Predictive Information Criterion (IC = 2 * pV + D.bar). -
pV
: Effective number of parameters (pV = var(D)/2). -
D.bar
: Expected value of the deviance over the posterior.
References
Spiegelhalter, David J., et al. (2002). Bayesian measures of model complexity and fit. Journal of the Royal Statistical Society: Series B, 64, 583-639 doi: 10.1111/1467-9868.00353
Examples
# create model specification
spec <- CreateSpec()
# load data
data("SMI", package = "MSGARCH")
# fit the model on data by MCMC
set.seed(123)
fit <- FitMCMC(spec = spec, data = SMI, ctr = list(nburn = 500L, nmcmc = 500L))
# compute DIC
DIC(fit)
[Package MSGARCH version 2.51 Index]