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Quantitative Finance · Begrippenlijst

Wat is Information criterion?

Definition 17.5 Quantitative Methods · Hoofdstuk 17 — Linear Time Series

An information criterion ranks models by fit penalised for size: Akaike’s AIC=−2ℓ+2k\mathrm{AIC} = -2\ell + 2k and Schwarz’s BIC=−2ℓ+kln⁡n\mathrm{BIC} = -2\ell + k\ln n, for maximised log-likelihood ℓ\ell and kk parameters; the smallest wins.

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