https://github.com/cran/dse
Tip revision: bbfde2f4b8a2382769a2591a7b594943a0e5e1dd authored by Paul Gilbert on 14 March 2011, 00:00:00 UTC
version 2011.3-1
version 2011.3-1
Tip revision: bbfde2f
informationTestsCalculations.Rd
\name{informationTestsCalculations}
\alias{informationTestsCalculations}
\title{Calculate selection criteria}
\description{Calculates several model selection criteria.}
\usage{
informationTestsCalculations(lst, sample.start=1,sample.end=NULL, warn=TRUE)
}
\arguments{
\item{lst}{One or more objects of class TSestModel.}
\item{sample.start}{
The start of the period to use for criteria calculations.
}
\item{sample.end}{
The end of the period to use for criteria calculations.
If omitted the end of the sample is used.
}
\item{warn}{If FALSE then some warning messages are suppressed.}
}
\value{
The calculated values are returned in a vector with names: port, like,
aic, bic, gvc, rice, fpe, taic, tbic, tgvc, trice and tfpe. These
correspond to values for the Portmanteau test, likelihood,
Akaike Information Criterion, Bayes Information Criterion,
Generalized Cross Validation, Rice Criterion, and Final Prediction Error.
The preceeding 't' indicates that the theoretical parameter space
dimension has been used, rather than the number of
coefficient (parameter) values. Methods which select a model based on some
information criterion calculated by \code{informationTestsCalculations}
should use the name of the vector element to specify the test value which
is to be used.
}
\seealso{
\code{\link{informationTests}}
}
\examples{
data("eg1.DSE.data.diff", package="dse")
model <- estVARXls(eg1.DSE.data.diff)
informationTestsCalculations(model)
}
\concept{DSE}
\keyword{ts}