get_ic_vals.bigtime.VARX

The number of non-zero coefficients in both the <code>Phihat</code>
and <code>Bhat</code> matrix are taken as the degrees of freedom.

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.bigtime.VARX function

<dl><dt>mod</dt>
<dd>Model estimated using <code>sparseVARX</code></dd>
<dt>verbose</dt>
<dd>Should information about the optimal selection be printed?</dd></dl>

Arguments

Calculates the Information Criteria for a model estimated using
sparseVARX — get_ic_vals.bigtime.VARX

<dl>

<dt>mod</dt>
<dd>Model estimated using <code>sparseVARX</code></dd>


<dt>verbose</dt>
<dd>Should information about the optimal selection be printed?</dd>

</dl>

get_ic_vals.bigtime.VARX: Calculates the Information Criteria for a model estimated using `sparseVARX`

Description

Usage

Value

Arguments