statsmodels.tools.eval_measures.aicc_sigma¶

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

Akaike information criterion (AIC) with small sample correction

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:	aicc – information criterion
Return type:	float

Notes

A constant has been dropped in comparison to the loglikelihood base information criteria. These should be used to compare for comparable models.

References