R: Log Likelihood and Information Criteria for Breakpoints

logLik.breakpoints {strucchange} | R Documentation

## Log Likelihood and Information Criteria for Breakpoints

### Description

Computation of log likelihood and AIC type information criteria for partitions given by breakpoints.

### Usage

    ## S3 method for class 'breakpointsfull'
    logLik(object, breaks = NULL, ...)
    ## S3 method for class 'breakpointsfull'
    AIC(object, breaks = NULL, ..., k = 2)

### Arguments

`object` | an object of class `"breakpoints"` or `"breakpointsfull"`.
`breaks` | if `object` is of class `"breakpointsfull"` the number of breaks can be specified.
`...` | currently not used.
`k` | the penalty parameter to be used, the default `k = 2` is the classical AIC, `k = log(n)` gives the BIC, if `n` is the number of observations.

### Details

As for linear models the log likelihood is computed on a normal model and the degrees of freedom are the number of regression coefficients multiplied by the number of segments plus the number of estimated breakpoints plus 1 for the error variance.

If `AIC` is applied to an object of class `"breakpointsfull"` `breaks` can be a vector of integers and the AIC for each corresponding partition will be returned. By default the maximal number of breaks stored in the `object` is used. See below for an example.

### Value

An object of class `"logLik"` or a simple vector containing the AIC respectively.

### See Also

`breakpoints`

### Examples

    ## Nile data with one breakpoint: the annual flows drop in 1898
    ## because the first Ashwan dam was built
    data("Nile")
    plot(Nile)

    bp.nile <- breakpoints(Nile ~ 1)
    summary(bp.nile)
    plot(bp.nile)

    ## BIC of partitions with0 to 5 breakpoints
    plot(0:5, AIC(bp.nile, k = log(bp.nile$nobs)), type = "b")
    ## AIC
    plot(0:5, AIC(bp.nile), type = "b")

    ## BIC, AIC, log likelihood of a single partition
    bp.nile1 <- breakpoints(bp.nile, breaks = 1)
    AIC(bp.nile1, k = log(bp.nile1$nobs))
    AIC(bp.nile1)
    logLik(bp.nile1)

[Package strucchange version 1.5-2 Index]