4
$\begingroup$

I am a beginner in the whole forecasting/regression/time-series topic. While reading "Forecasting: principles and practice" from Rob J Hyndman and George Athana­sopou­los i found something strange.

library(fpp)
test <- tslm(ausbeer ~ trend+season)
#summary(test)
#plot(ausbeer, col='grey')
#lines(fitted(test), col='red')
AIC(test)
> 2327.316
CV(test)
      CV          AIC         AICc          BIC        AdjR2 
3582.0767318 1728.5234412 1728.9352059 1748.6345900    0.5377408 

Why is there a difference in the AIC values (Akaike's Information Criterion)? As far as i understood AIC(test) and the AIC value in the CV(test) should be the same.

$\endgroup$
  • 4
    $\begingroup$ It's very common for different packages/computations to include/exclude different constant terms in the AIC ... $\endgroup$ – Ben Bolker Sep 3 '15 at 16:10
  • $\begingroup$ So in order to use AIC for comparing different models i have to take care that i use always the same AIC function!? $\endgroup$ – RandomDude Sep 4 '15 at 9:51
  • 1
    $\begingroup$ the difference is between extractAIC() (used by CV()) which leaves out a constant term, and AIC(), which appears to give a computation consistent with the full Normal log-likelihood expression. $\endgroup$ – Ben Bolker Sep 5 '15 at 3:10
2
$\begingroup$

It's very common for different packages/computations to include/exclude different constant terms in the AIC. Here, the difference is between extractAIC() (used by CV()) which leaves out a constant term, and AIC(), which appears to give a computation consistent with the full Normal log-likelihood expression. Also see What is the difference between AIC() and extractAIC() in R? and https://stat.ethz.ch/pipermail/r-help/2007-December/147855.html

$\endgroup$
  • 2
    $\begingroup$ I've copied this comment by @BenBolker as a community wiki answer because the comment is, more or less, an answer to this question. We have a dramatic gap between answers and questions. At least part of the problem is that some questions are answered in comments: if comments which answered the question were answers instead, we would have fewer unanswered questions. $\endgroup$ – mkt - Reinstate Monica Jul 12 '18 at 14:15

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.