Mathematics – Statistics Theory
Scientific paper
2008-07-07
Mathematics
Statistics Theory
A preliminary version of a part of this paper appeared at the NIPS 2007 conference
Scientific paper
Bayesian model averaging, model selection and its approximations such as BIC are generally statistically consistent, but sometimes achieve slower rates og convergence than other methods such as AIC and leave-one-out cross-validation. On the other hand, these other methods can br inconsistent. We identify the "catch-up phenomenon" as a novel explanation for the slow convergence of Bayesian methods. Based on this analysis we define the switch distribution, a modification of the Bayesian marginal distribution. We show that, under broad conditions,model selection and prediction based on the switch distribution is both consistent and achieves optimal convergence rates, thereby resolving the AIC-BIC dilemma. The method is practical; we give an efficient implementation. The switch distribution has a data compression interpretation, and can thus be viewed as a "prequential" or MDL method; yet it is different from the MDL methods that are usually considered in the literature. We compare the switch distribution to Bayes factor model selection and leave-one-out cross-validation.
Erven Tim van
Grunwald Peter
Rooij Steven de
No associations
LandOfFree
Catching Up Faster by Switching Sooner: A Prequential Solution to the AIC-BIC Dilemma does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Catching Up Faster by Switching Sooner: A Prequential Solution to the AIC-BIC Dilemma, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Catching Up Faster by Switching Sooner: A Prequential Solution to the AIC-BIC Dilemma will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-561278