hdBIC function

BIC score

This function calculates the BIC score that has been shown to work better than ordinary BIC in high-dimensional scenarios. It uses the variance estimator given in if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_citeOnly(keys="yu2019estimating;textual",package="TSdisaggregation",cached_env=.Rdpack.currefs) .

hdBIC(X, Y, covariance, beta)

Arguments

• X: Aggregated indicator series matrix that has been GLS rotated.
• Y: Low-frequency response vector that has been GLS rotated.
• covariance: Aggregated AR covariance matrix.
• beta: Estimate of beta from LARS algorithm for a certain lambda.

References

if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_all_ref(.Rdpack.currefs)