.get_ic_vals

Not meant to be called by the user

internal

Estimation of large Vector AutoRegressive (VAR), Vector AutoRegressive with Exogenous Variables X (VARX) and Vector AutoRegressive Moving Average (VARMA) Models with Structured Lasso Penalties, see Nicholson, Wilms, Bien and Matteson (2020) <https://jmlr.org/papers/v21/19-777.html> and Wilms, Basu, Bien and Matteson (2021) <doi:10.1080/01621459.2021.1942013>.

Ines Wilms

bigtime

Sparse Estimation of Large Time Series Models

David S. Matteson

Jacob Bien

Sumanta Basu

Will Nicholson

Enrico Wegner

.get_ic_vals function

<dl><dt>res</dt>
<dd>Matrix of residuals</dd>
<dt>tt</dt>
<dd>Number of time periods</dd>
<dt>df</dt>
<dd>Degrees of freedom</dd></dl>

Arguments

Calculates ICs — .get_ic_vals

<dl>

<dt>res</dt>
<dd>Matrix of residuals</dd>


<dt>tt</dt>
<dd>Number of time periods</dd>


<dt>df</dt>
<dd>Degrees of freedom</dd>

</dl>

.get_ic_vals: Calculates ICs

Description

Usage

Arguments