get_ic_vals.bigtime.VAR {bigtime} | R Documentation |
Calculates the Information Criteria for a model estimated using
sparseVAR
Description
The number of non-zero coefficients are taken as the degrees of freedom.
Usage
## S3 method for class 'bigtime.VAR'
get_ic_vals(mod, verbose = TRUE)
Arguments
mod |
Model estimated using |
verbose |
Should information about the optimal selection be printed? |
Value
Returns a list containing
ics |
Values of the ICs for all lambdas |
mins |
Which IC lead to the minimum (the row number) |
selected_lambdas |
Which lambdas were selected |
Examples
dat <- simVAR(periods = 200, k=2, p=5, decay = 0.01)
mod <- sparseVAR(Y=scale(dat$Y))
ics <- get_ic_vals(mod)
[Package bigtime version 0.2.3 Index]