MDL {tidychangepoint} | R Documentation |
Maximum Descriptive Length
Description
Generic function to compute the Maximum Descriptive Length for a changepoint detection model.
Usage
MDL(object, ...)
## Default S3 method:
MDL(object, ...)
## S3 method for class 'logLik'
MDL(object, ...)
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.
These quantites should be base::attributes()
of the object returned by
logLik()
.
Value
A double
vector of length 1
See Also
Other penalty-functions:
BMDL()
,
MBIC()
Examples
MDL(fit_meanshift_norm_ar1(CET, tau = c(42, 330)))
MDL(fit_trendshift(CET, tau = c(42, 81, 330)))