Generic function to compute the Bayesian Maximum Descriptive Length for a
changepoint detection model.
Usage
BMDL(object, ...)
# S3 method for default
BMDL(object, ...)
# S3 method for nhpp
BMDL(object, ...)
Value
A double vector of length 1
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.
Details
Currently, the BMDL function is only defined for the NHPP model
(see fit_nhpp()).
Given a changepoint set \(\tau\), the BMDL is:
$$
BMDL(\tau, NHPP(y | \hat{\theta}_\tau) =
P_{MDL}(\tau) - 2 \ln{ L_{NHPP}(y | \hat{\theta}_\tau) }
- 2 \ln{ g(\hat{\theta}_\tau) }
$$
where \(P_{MDL}(\tau)\) is the MDL() penalty.
See Also
Other penalty-functions:
HQC(),
MBIC(),
MDL(),
SIC()