extractAIC.spARCH

The function extracts the log-likelihood of a spatial ARCH model.

A collection of functions to deal with spatial and spatiotemporal autoregressive conditional heteroscedasticity (spatial ARCH and GARCH models) by Otto, Schmid, Garthoff (2018, Spatial Statistics) <doi:10.1016/j.spasta.2018.07.005>: simulation of spatial ARCH-type processes (spARCH, log/exponential-spARCH, complex-spARCH); quasi-maximum-likelihood estimation of the parameters of spARCH models and spatial autoregressive models with spARCH disturbances, diagnostic checks, visualizations.

Philipp Otto

spGARCH

Spatial ARCH and GARCH Models (spGARCH)

extractAIC.spARCH function

<dl> <dt>fit</dt>
<dd><code>spARCH</code> object (fitted model resulting of <code>qml.spARCH</code>).</dd> <dt>scale</dt>
<dd>currently unused for <code>spARCH</code> objects.</dd><dt>k</dt>
<dd>parameter specifying the weight for the penalizing term.</dd> <dt>...</dt>
<dd>Other arguments.</dd></dl>

Arguments

Philipp Otto <a href="/link/philipp.otto%40glasgow.ac.uk?package=spGARCH&version=0.2.3" data-mini-rdoc="spGARCH::philipp.otto@glasgow.ac.uk">philipp.otto@glasgow.ac.uk</a>

Author

Computes the Akaike information criterion — extractAIC.spARCH

<dl>

 <dt>fit</dt>
<dd><code>spARCH</code> object (fitted model resulting of <code>qml.spARCH</code>).</dd>

 <dt>scale</dt>
<dd>currently unused for <code>spARCH</code> objects.</dd>

<dt>k</dt>
<dd>parameter specifying the weight for the penalizing term.</dd>

 <dt>...</dt>
<dd>Other arguments.</dd>

</dl>

Philipp Otto <a href='mailto:philipp.otto@glasgow.ac.uk'>philipp.otto@glasgow.ac.uk</a>

extractAIC.spARCH: Computes the Akaike information criterion

Description

Usage

Arguments

Author

Details