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Method which computes the Akaike information criterion (AIC) from a fit object of type
MSGARCH_ML_FIT
created with FitML
or MSGARCH_MCMC_FIT
created with FitMCMC
.
AIC(fit)# S3 method for MSGARCH_ML_FIT
AIC(fit)
# S3 method for MSGARCH_MCMC_FIT
AIC(fit)
AIC value.
Computes the Akaike information criterion (AIC) based on the work of Akaike (Akaike, 1974). If a matrix of MCMC posterior draws is given, the AIC on the posterior mean is calculated.
Akaike, H. (1974). A new look at the statistical model identification. IEEE Transactions on Automatic Control, 19, 716-723.
# NOT RUN {
# load data
data("SMI", package = "MSGARCH")
# create model specification
# MS(2)-GARCH(1,1)-Normal (default)
spec <- CreateSpec()
# fit the model on data by ML
fit <- FitML(spec = spec, data = SMI)
# compute AIC
AIC(fit)
# }
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