AIC.fitsimts {simts}

Akaike's Information Criterion

Description

This function calculates AIC, BIC or HQ for a fitsimts object. This function currently only supports models estimated by the MLE.

Usage

## S3 method for class 'fitsimts'
AIC(object, k = 2, ...)

Arguments

object

A fitsimts object.

k

The penalty per parameter to be used; the default k = 2 is the classical AIC.

...

Optionally more fitted model objects.

Value

AIC, BIC or HQ

Author(s)

Stéphane Guerrier

Examples

set.seed(1)
n = 300
Xt = gen_gts(n, AR(phi = c(0, 0, 0.8), sigma2 = 1))
mod = estimate(AR(3), Xt)

# AIC
AIC(mod)

# BIC
AIC(mod, k = log(n))

# HQ
AIC(mod, k = 2*log(log(n)))