4.7.6.1.7. statsmodels.tools.eval_measures.bic_sigma¶
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statsmodels.tools.eval_measures.bic_sigma(sigma2, nobs, df_modelwc, islog=False)[source]¶ Bayesian information criterion (BIC) or Schwarz criterion
Parameters: sigma2 : float
estimate of the residual variance or determinant of Sigma_hat in the multivariate case. If islog is true, then it is assumed that sigma is already log-ed, for example logdetSigma.
nobs : int
number of observations
df_modelwc : int
number of parameters including constant
Returns: bic : float
information criterion
Notes
A constant has been dropped in comparison to the loglikelihood base information criteria. These should be used to compare for comparable models.
References