Akaike information criterion
Parameters: | sigma2 : float
estimate of the residual variance or determinant of Sigma_hat in the
multivariate case. If islog is true, then it is assumed that sigma
is already log-ed, for example logdetSigma.
nobs : int
df_modelwc : int
number of parameters including constant
|
Returns: | aic : float
|
Notes
A constant has been dropped in comparison to the loglikelihood base
information criteria. The information criteria should be used to compare
only comparable models.
For example, AIC is defined in terms of the loglikelihood as
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in terms of
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in terms of the determinant of
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Note: In our definition we do not divide by n in the log-likelihood
version.
TODO: Latex math
reference for example lecture notes by Herman Bierens
References
http://en.wikipedia.org/wiki/Akaike_information_criterion