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Maximum Descriptive Length

MDL.Rd

Generic function to compute the Maximum Descriptive Length for a changepoint detection model.

Usage

MDL(object, ...)

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

# S3 method for class 'logLik'
MDL(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.

Value

A double vector of length 1

Details

$$ P_{MDL}(\tau) = \frac{a(\theta_\tau)}{2} \cdot \sum_{j=0}^m \log{\left(\tau_j - \tau_{j-1} \right)} + 2 \ln{m} + \sum_{j=2}^m \ln{\tau_j} + \left( 2 + b(\theta_\tau) \right) \ln{n} $$ where \(a(\theta)\) is the number of parameters in \(\theta\) that are fit in each region, and \(b(\theta)\) is the number of parameters fit to the model as a whole.

These quantites should be base::attributes() of the object returned by logLik().

See also

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

Examples

MDL(fit_meanshift_norm_ar1(CET, tau = c(42, 330)))
#> [1] 665.0437
MDL(fit_trendshift(CET, tau = c(42, 81, 330)))
#> [1] 653.0703