Bicop.mbic
- Bicop.mbic(self: pyvinecopulib.Bicop, u: numpy.ndarray[numpy.float64[m, n]] = array([], shape=(0, 2), dtype=float64), psi0: float = 0.9) float
Evaluates the modified Bayesian information criterion (mBIC).
The mBIC is defined as
\[\mathrm{BIC} = -2\, \mathrm{loglik} + p \log(n) - 2 (I \log(\psi_0) + (1 - I) \log(1 -\]psi_0),
where \(\mathrm{loglik}\) is the log-liklihood (see
Bicop.loglik()
), \(p\) is the (effective) number of parameters of the model, and \(\psi_0\) is the prior probability of having a non-independence copula and \(I\) is an indicator for the family being non-independence.- Parameters:
u – An \(n \times (2 + k)\) matrix of observations contained in \((0, 1)\), where \(k\) is the number of discrete variables.
psi0 – Prior probability of a non-independence copula.
- Returns:
The mBIC evaluated at
u
.