statsmodels.tools.eval_measures.bic_sigma¶

statsmodels.tools.eval_measures.bic_sigma(sigma2, nobs, df_modelwc, islog=False)[source]¶

Bayesian information criterion (BIC) or Schwarz criterion

Parameters:¶

sigma2float

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.

nobsint

number of observations

df_modelwcint

number of parameters including constant

Returns:¶

bicfloat

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

https://en.wikipedia.org/wiki/Bayesian_information_criterion