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Hannan–Quinn information criterion

HQC.Rd

Hannan–Quinn information criterion

Usage

HQC(object, ...)

# Default S3 method
HQC(object, ...)

# S3 method for class 'logLik'
HQC(object, ...)

Arguments

object

any object from which a log-likelihood value, or a contribution to a log-likelihood value, can be extracted.

...

some methods for this generic function require additional arguments.

Details

Computes the Hannan-Quinn information criterion for a model \(M\) $$ HQC(\tau, M(y|\hat{\theta}_{\tau})) = 2k \cdot \ln{\ln{n}} - 2 \cdot L_M(y|\hat{\theta}_\tau) \,, $$ where \(k\) is the number of parameters and \(n\) is the number of observations.

See also

stats::BIC(), stats::AIC()

Other penalty-functions: BMDL(), MBIC(), MDL(), SIC()

Examples

# Compute the HQC
HQC(fit_meanvar(CET, tau = NULL))
#> [1] 780.7158

HQC(fit_meanshift_norm_ar1(CET, tau = c(42, 330)))
#> [1] 635.8524
HQC(fit_trendshift(CET, tau = c(42, 81, 330)))
#> [1] 605.6614