DIC function

Deviance information criterion (DIC)

This function computes the Deviance information criterion (DIC) for objects of class mtar.

DIC(..., verbose = TRUE, digits = max(3, getOption("digits") - 2))

Arguments

• ...: one or several objects of the class mtar.
• verbose: an (optional) logical switch indicating if should the report of results be printed. As default, verbose is set to TRUE.
• digits: an (optional) integer indicating the number of digits to print. As default, digits is set to max(3, getOption("digits") - 2).

Returns

A data.frame with the values of the DIC for each mtar object in the input.

Examples

###### Example 1: Returns of the closing prices of three financial indexes
data(returns)
fit1a <- mtar(~ COLCAP + BOVESPA | SP500, row.names=Date, dist="Gaussian",
              data=returns, ars=list(p=c(1,1,2)), n.burnin=100, n.sim=3000)
fit1b <- update(fit1a,dist="Slash")
fit1c <- update(fit1a,dist="Student-t")
DIC(fit1a,fit1b,fit1c)

###### Example 2: Rainfall and two river flows in Colombia
data(riverflows)
fit2a <- mtar(~ Bedon + LaPlata | Rainfall, row.names=Date, dist="Gaussian",
              data=riverflows, ars=list(p=c(5,5,5)), n.burnin=100, n.sim=3000)
fit2b <- update(fit2a,dist="Slash")
fit2c <- update(fit2a,dist="Student-t")
DIC(fit2a,fit2b,fit2c)

References

Spiegelhalter D.J., Best N.G., Carlin B.P. and Van Der Linde A. (2002) Bayesian Measures of Model Complexity and Fit. Journal of the Royal Statistical Society Series B (Statistical Methodology), 64(4), 583–639.

Spiegelhalter D.J., Best N.G., Carlin B.P. and Van der Linde A. (2014). The deviance information criterion: 12 years on. Journal of the Royal Statistical Society Series B (Statistical Methodology), 76(3), 485–493.

See Also

WAIC