Generic function to compute the Maximum Descriptive Length for a
changepoint detection model.
Usage
MDL(object, ...)
# S3 method for default
MDL(object, ...)
# S3 method for logLik
MDL(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
$$
P_{MDL}(\tau) = \frac{a(\theta_\tau)}{2} \cdot
\sum_{j=0}^m \log{\left(\tau_j - \tau_{j-1} \right)} + 2 \ln{m} + \sum_{j=2}^m \ln{\tau_j} +
\left( 2 + b(\theta_\tau) \right) \ln{n}
$$
where \(a(\theta)\) is the number of parameters in \(\theta\) that are
fit in each region, and \(b(\theta)\) is the number of parameters
fit to the model as a whole.