get_ic_vals.bigtime.VARX {bigtime} | R Documentation |
sparseVARX
The number of non-zero coefficients in both the Phihat
and Bhat
matrix are taken as the degrees of freedom.
## S3 method for class 'bigtime.VARX'
get_ic_vals(mod, verbose = TRUE)
mod |
Model estimated using |
verbose |
Should information about the optimal selection be printed? |
Returns a list containing
ics |
Values of the ICs for all lambdas |
mins |
Which IC lead to the minimum (the row number) |
selected_lamPhi |
Which lambda Phi were selected |
selected_lamB |
Which lambda B were selected |