aicbic
Information criteria
Syntax
Description
To assess model adequacy, aicbic
computes information criteria given loglikelihood values obtained by fitting competing models to data.
Examples
Input Arguments
Output Arguments
More About
Tips
In small samples, AIC tends to overfit. To address overfitting, AICc adds a size-dependent correction term that increases the penalty on the number of parameters. AICc approaches AIC asymptotically. The analysis in [3] suggests using AICc when
numObs/numParam
<40
.When econometricians compare models with different numbers of autoregressive lags or different orders of differencing, they often scale information criteria by the number of observations [5]. To scale information criteria, set
numObs
to the effective sample size of each estimate, and set'Normalize'
to true.
References
[1] Akaike, Hirotugu. "Information Theory and an Extension of the Maximum Likelihood Principle.” In Selected Papers of Hirotugu Akaike, edited by Emanuel Parzen, Kunio Tanabe, and Genshiro Kitagawa, 199–213. New York: Springer, 1998. https://doi.org/10.1007/978-1-4612-1694-0_15.
[2] Akaike, Hirotugu. “A New Look at the Statistical Model Identification.” IEEE Transactions on Automatic Control 19, no. 6 (December 1974): 716–23. https://doi.org/10.1109/TAC.1974.1100705.
[3] Burnham, Kenneth P., and David R. Anderson. Model Selection and Multimodel Inference: A Practical Information-Theoretic Approach. 2nd ed, New York: Springer, 2002.
[4] Hannan, Edward J., and Barry G. Quinn. “The Determination of the Order of an Autoregression.” Journal of the Royal Statistical Society: Series B (Methodological) 41, no. 2 (January 1979): 190–95. https://doi.org/10.1111/j.2517-6161.1979.tb01072.x.
[5] Lütkepohl, Helmut, and Markus Krätzig, editors. Applied Time Series Econometrics. 1st ed. Cambridge University Press, 2004. https://doi.org/10.1017/CBO9780511606885.
[6] Schwarz, Gideon. “Estimating the Dimension of a Model.” The Annals of Statistics 6, no. 2 (March 1978): 461–64. https://doi.org/10.1214/aos/1176344136.
Version History
Introduced before R2006a