logLik.breakpoints {strucchange} | R Documentation |
Computation of log likelihood and AIC type information criteria for partitions given by breakpoints.
## S3 method for class 'breakpointsfull': logLik(object, breaks = NULL, ...) ## S3 method for class 'breakpointsfull': AIC(object, breaks = NULL, ..., k = 2)
object |
an object of class "breakpoints" or "breakpointsfull" . |
breaks |
if object is of class "breakpointsfull" the
number of breaks can be specified. |
... |
currently not used. |
k |
the penalty parameter to be used, the default k = 2
is the classical AIC, k = log(n) gives the BIC, if n
is the number of observations. |
As for linear models the log likelihood is computed on a normal model and the degrees of freedom are the number of regression coefficients multiplied by the number of segements plus the number of estimated breakpoints plus 1 for the error variance.
If AIC
is applied to an object of class "breakpointsfull"
breaks
can be a vector of integers and the AIC for each corresponding
partition will be returned. By default the maximal number of breaks stored
in the object
is used. See below for an example.
An object of class "logLik"
or a simple vector containing
the AIC respectively.
if(! "package:stats" %in% search()) library(ts) ## Nile data with one breakpoint: the annual flows drop in 1898 ## because the first Ashwan dam was built data(Nile) plot(Nile) bp.nile <- breakpoints(Nile ~ 1) summary(bp.nile) plot(bp.nile) ## BIC of partitions with0 to 5 breakpoints plot(0:5, AIC(bp.nile, k = log(bp.nile$nobs)), type = "b") ## AIC plot(0:5, AIC(bp.nile), type = "b") ## BIC, AIC, log likelihood of a single partition bp.nile1 <- breakpoints(bp.nile, breaks = 1) AIC(bp.nile1, k = log(bp.nile1$nobs)) AIC(bp.nile1) logLik(bp.nile1)