get_ic_vals.bigtime.VARX {bigtime}

Calculates the Information Criteria for a model estimated using sparseVARX

Description

The number of non-zero coefficients in both the Phihat and Bhat matrix are taken as the degrees of freedom.

Usage

## S3 method for class 'bigtime.VARX'
get_ic_vals(mod, verbose = TRUE)

Arguments

mod

Model estimated using sparseVARX

verbose

Should information about the optimal selection be printed?

Value

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