greybox (version 2.0.2)

pAIC: Point AIC

Description

This function returns a vector of AIC values for the in-sample observations

Usage

pAIC(object, ...)
pAICc(object, ...)
pBIC(object, ...)
pBICc(object, ...)

Value

The function returns the vector of point AIC values.

Arguments

object

Time series model.

...

Some stuff.

Author

Ivan Svetunkov,

Details

This is based on pointLik function. The formula for this is: pAIC_t = 2 * k - 2 * T * l_t , where k is the number of parameters, T is the number of observations and l_t is the point likelihood. This way we preserve the property that AIC = mean(pAIC).

See Also

pointLik

Examples

xreg <- cbind(rnorm(100,10,3),rnorm(100,50,5))
xreg <- cbind(100+0.5*xreg[,1]-0.75*xreg[,2]+rnorm(100,0,3),xreg,rnorm(100,300,10))
colnames(xreg) <- c("y","x1","x2","Noise")
ourModel <- alm(y~x1+x2,as.data.frame(xreg))

pAICValues <- pAIC(ourModel)

mean(pAICValues)
AIC(ourModel)