Understanding predictive information criteria for Bayesian models

DOI10.1007/S11222-013-9416-2zbMATH Open1332.62090arXiv1307.5928OpenAlexW2130902307WikidataQ61703750 ScholiaQ61703750MaRDI QIDQ260993FDOQ260993

Authors: Jessica Hwang, Aki Vehtari, Andrew Gelman 

Publication date: 22 March 2016

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: We review the Akaike, deviance, and Watanabe-Akaike information criteria from a Bayesian perspective, where the goal is to estimate expected out-of-sample-prediction error using a biascorrected adjustment of within-sample error. We focus on the choices involved in setting up these measures, and we compare them in three simple examples, one theoretical and two applied. The contribution of this review is to put all these information criteria into a Bayesian predictive context and to better understand, through small examples, how these methods can apply in practice.

Full work available at URL: https://arxiv.org/abs/1307.5928

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zbMATH Keywords

predictionAICBayescross-validationDICWAIC

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Bayesian inference (62F15)

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Uses Software

• BUGS
• BayesDA
• bootstrap

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