Learn R Programming

BAMBI (version 2.3.5)

DIC: Deviance Information Criterion (DIC) for angmcmc objects

Description

Deviance Information Criterion (DIC) for angmcmc objects

Usage

DIC(object, form = 2, ...)

Value

Computes the DIC for a given angmcmc object

Arguments

object

angular MCMC object.

form

form of DIC to use. Available choices are 1 and 2 (default). See details.

...

additional model specific arguments to be passed to DIC. For example, int.displ specifies integer dispacement in wnorm and wnorm2 models. See fit_wnormmix and fit_wnorm2mix for more details.

Details

Given a deviance function \(D(\theta) = -2 log(p(y|\theta))\), and an estimate \(\theta* = (\sum \theta_i) / N\) of the posterior mean \(E(\theta|y)\), where \(y\) denote the data, \(\theta\) are the unknown parameters of the model, \(\theta_1, ..., \theta_N\) are MCMC samples from the posterior distribution of \(\theta\) given \(y\) and \(p(y|\theta)\) is the likelihood function, the (form 1 of) Deviance Infomation Criterion (DIC) is defined as $$DIC = 2 ( (\sum_{s=1}^N D(\theta_s)) / N - D(\theta*) )$$ The second form for DIC is given by $$DIC = D(\theta*) - 4 \hat{var} \log p(y|\theta_s)$$ where for \(i = 1, ..., n\), \(\hat{var} \log p(y|\theta)\) denotes the estimated variance of the log likelihood based on the realizations \(\theta_1, ..., \theta_N\).

Like AIC and BIC, DIC is an asymptotic approximation for large samples, and is only valid when the posterior distribution is approximately normal.

Examples

Run this code
# illustration only - more iterations needed for convergence
fit.vmsin.20 <- fit_vmsinmix(tim8, ncomp = 3, n.iter =  20,
                             n.chains = 1)
DIC(fit.vmsin.20)

Run the code above in your browser using DataLab