对数似然值 matlab,matlab aic准则 怎么计算对数似然值

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2016-11-22 回答

BIC需要三个 inputs (LLF , numParams , numObs)

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%AICBIC Akaike and Bayesian information criteria for model order selection.

% models of the conditional mean and variance to a univariate return series,

% information criteria penalize models with additional parameters, AIC and

% either AIC or BIC, models that minimize the criteria are preferred.

% [AIC , BIC] = aicbic(LLF , NumParams , NumObs)

% Optional Inputs: NumObs

% Inputs:

% values associated with parameter estimates of various models. The LLF

% or the inference function GARCHINFER. Type “help garchfit” or “help

% garchinfer” for details.

% NumParams – Number of estimated parameters associated with each value

% vector the same length as LLF. All elements of NumParams must be

% GARCHCOUNT. Type “help garchcount” for details.

% Optional Input:

% value of LLF. NumObs is required for computing BIC, but is not needed

% vector the same length as LLF. All elements NumObs must be positive

%

% AIC – Vector of AIC statistics associated with each LLF objective

%

%

% function value. The BIC statistic is defined as:

% BIC = -2*LLF + NumParams*Log(NumObs)

%example

load garchdata

[m,n]=size(dem2gbp); %[1974,1]

spec11 = garchset(‘P’,1,’Q’,1,’Display’,’off’);

garchdisp(coeff11,errors11)

format long

[AIC,BIC]