extractAIC {stats}

R Documentation

Extract AIC from a Fitted Model

Description

Computes the (generalized) Akaike An Information Criterion for a fitted parametric model.

Usage

extractAIC(fit, scale, k = 2, ...)

Arguments

fit	fitted model, usually the result of a fitter like lm.
scale	optional numeric specifying the scale parameter of the model, see scale in step. Currently only used in the "lm" method, where scale specifies the estimate of the error variance, and scale = 0 indicates that it is to be estimated by maximum likelihood.
k	numeric specifying the ‘weight’ of the equivalent degrees of freedom (\equiv edf) part in the AIC formula.
...	further arguments (currently unused in base R).

Details

This is a generic function, with methods in base R for "aov", "coxph", "glm", "lm", "negbin" and "survreg" classes.

The criterion used is

AIC = - 2\log L + k \times \mbox{edf},

where L is the likelihood and edf the equivalent degrees of freedom (i.e., the number of free parameters for usual parametric models) of fit.

For linear models with unknown scale (i.e., for lm and aov), -2\log L is computed from the deviance and uses a different additive constant to logLik and hence AIC. If RSS denotes the (weighted) residual sum of squares then extractAIC uses for - 2\log L the formulae RSS/s - n (corresponding to Mallows' C_p) in the case of known scale s and n \log (RSS/n) for unknown scale. AIC only handles unknown scale and uses the formula n \log (RSS/n) - n + n \log 2\pi - \sum \log w where w are the weights.

For glm fits the family's aic() function to compute the AIC: see the note under logLik about the assumptions this makes.

k = 2 corresponds to the traditional AIC, using k = log(n) provides the BIC (Bayesian IC) instead.

Value

A numeric vector of length 2, giving

edf	the ‘equivalent degrees of freedom’ for the fitted model fit.
AIC	the (generalized) Akaike Information Criterion for fit.

Note

This function is used in add1, drop1 and step and similar functions in package MASS from which it was adopted.

Author(s)

B. D. Ripley

References

Venables, W. N. and Ripley, B. D. (2002) Modern Applied Statistics with S. New York: Springer (4th ed).

See Also

AIC, deviance, add1, step

Examples

utils::example(glm)
extractAIC(glm.D93)#>>  5  15.129

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