org.codehaus.jet.regression.estimators
Class HannanQuinnInformationCriterionEstimator
java.lang.Object
org.codehaus.jet.regression.estimators.AbstractInformationCriterionEstimator
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
Method Summary |
protected double |
calculateIC(int p,
int T,
double var)
Calculate HQIC |
Methods inherited from class java.lang.Object |
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
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
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 orderT
- the sample sizevar
- the sample variance
- Returns:
- The HQIC value
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