Table 2 GMM model selection results: model comparison by AIC and BIC (N=50,000, F=4).
K | Covariance (\(\Sigma\)) | Log-Likelihood | p (Params) | AIC | BIC |
|---|---|---|---|---|---|
2 | diag | -21748.26 | 21 | 43538.51 | 43675.37 |
2 | full | -15412.59 | 41 | 30907.19 | 31174.39 |
3 | diag | -19561.06 | 26 | 39174.12 | 39455.51 |
3 | full | -13527.28 | 44 | 27142.56 | 27626.87 |