BIC.varlse {bvhar} | R Documentation |
Bayesian Information Criterion of Multivariate Time Series Model
Description
Compute BIC of VAR(p), VHAR, BVAR(p), and BVHAR
Usage
## S3 method for class 'varlse'
BIC(object, ...)
## S3 method for class 'vharlse'
BIC(object, ...)
## S3 method for class 'bvarmn'
BIC(object, ...)
## S3 method for class 'bvarflat'
BIC(object, ...)
## S3 method for class 'bvharmn'
BIC(object, ...)
Arguments
object |
Model fit |
... |
not used |
Details
Let \tilde{\Sigma}_e
be the MLE
and let \hat{\Sigma}_e
be the unbiased estimator (covmat
) for \Sigma_e
.
Note that
\tilde{\Sigma}_e = \frac{s - k}{n} \hat{\Sigma}_e
Then
BIC(p) = \log \det \Sigma_e + \frac{\log s}{s}(\text{number of freely estimated parameters})
where the number of freely estimated parameters is pm^2
.
Value
BIC value.
References
Gideon Schwarz. (1978). Estimating the Dimension of a Model. Ann. Statist. 6 (2) 461 - 464.
Lütkepohl, H. (2007). New Introduction to Multiple Time Series Analysis. Springer Publishing.
[Package bvhar version 2.0.1 Index]