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:

Notes

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

References