org.codehaus.jet.regression.estimators
Class HannanQuinnInformationCriterionEstimator

java.lang.Object
  extended by org.codehaus.jet.regression.estimators.AbstractInformationCriterionEstimator
      extended by org.codehaus.jet.regression.estimators.HannanQuinnInformationCriterionEstimator
All Implemented Interfaces:
InformationCriterionEstimator

public class HannanQuinnInformationCriterionEstimator
extends AbstractInformationCriterionEstimator

Estimator for the Hannan-Quinn Information Criterion (HQIC)

 HQIC(p)= log(sigma^2(p)+ 2p*log(log(T))/T
 

Author:
Mauro Talevi
See Also:
InformationCriterionEstimator

Constructor Summary
HannanQuinnInformationCriterionEstimator()
          Creates an HannanQuinnInformationCriterionEstimator with default regression estimator
HannanQuinnInformationCriterionEstimator(MultipleLinearRegressionEstimator regression)
          Creates an HannanQuinnInformationCriterionEstimator with given regression estimator
 
Method Summary
protected  double calculateIC(int p, int T, double var)
          Calculate HQIC
 
Methods inherited from class org.codehaus.jet.regression.estimators.AbstractInformationCriterionEstimator
addData, calculateYVariance, createDefaultRegressionEstimator, estimateIC, getSampleSize, minimiseIC, toRegressands, toRegressors
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

HannanQuinnInformationCriterionEstimator

public HannanQuinnInformationCriterionEstimator()
Creates an HannanQuinnInformationCriterionEstimator with default regression estimator


HannanQuinnInformationCriterionEstimator

public HannanQuinnInformationCriterionEstimator(MultipleLinearRegressionEstimator regression)
Creates an HannanQuinnInformationCriterionEstimator with given regression estimator

Parameters:
regression - the MultipleLinearRegressionEstimator
Method Detail

calculateIC

protected double calculateIC(int p,
                             int T,
                             double var)
Calculate HQIC
 HQIC(p)= log(sigma^2(p)+ 2p*log(log(T))/T
 

Specified by:
calculateIC in class AbstractInformationCriterionEstimator
Parameters:
p - the lag order
T - the sample size
var - the sample variance
Returns:
The HQIC value


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