The development repository for the fic R package for the Focused Information Criterion and related methods for model comparison.
The fic package compares how well different models estimate a quantity of interest (the "focus") so that different models may be preferred for different purposes.
Comparisons within any class of models fitted by maximum likelihood are supported, with shortcuts for commonly-used classes such as generalised linear models and parametric survival models.
The methods originate from Claeskens and Hjort (2003) and Claeskens and Hjort (2008)
install.packages("fic")install.packages("devtools") # if devtools not already installed
library(devtools)
install_github("chjackson/fic")See the package vignettes (work in progress) for an introduction:
Different models for different purposes: focused model comparison in R
Bootstrap and alternative losses
Source code GitHub repository