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

Recommendations

• Information criteria for the predictive evaluation of bayesian models
• Bayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes models
• A survey of Bayesian predictive methods for model assessment, selection and comparison
• Bayesian Measures of Model Complexity and Fit
• Information criteria for prediction when the distributions of current and future observations differ

zbMATH Keywords

predictionAICBayescross-validationDICWAIC

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Estimating the dimension of a model
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• A survey of Bayesian predictive methods for model assessment, selection and comparison
• Asymptotic equivalence of Bayes cross validation and widely applicable information criterion in singular learning theory
• Penalized loss functions for Bayesian model comparison
• A comparative study of ordinary cross-validation, v-fold cross-validation and the repeated learning-testing methods
• Title not available (Why is that?)
• A Predictive Approach to Model Selection
• Title not available (Why is that?)
• Bayesian Measures of Model Complexity and Fit
• Title not available (Why is that?)
• Bayesian Model Assessment and Comparison Using Cross-Validation Predictive Densities
• Strictly Proper Scoring Rules, Prediction, and Estimation
• DIC in variable selection
• Title not available (Why is that?)
• Deviance information criteria for missing data models
• Bayesianly justifiable and relevant frequency calculations for the applied statistician
• Making and evaluating point forecasts
• Philosophy and the practice of Bayesian statistics
• Title not available (Why is that?)
• Title not available (Why is that?)
• Model Selection and Multimodel Inference
• Expected information as ecpected utility
• A cross-validatory method for dependent data
• Algebraic Geometry and Statistical Learning Theory
• Title not available (Why is that?)
• Intrinsic losses
• Title not available (Why is that?)
• A widely applicable Bayesian information criterion
• Statistical Inference

Cited In (only showing first 100 items - show all)

• Monotonicity of rank order probabilities in signal detection models of simultaneous detection and identification
• Information criteria and cross validation for Bayesian inference in regular and singular cases
• A Bayesian approach to modeling group and individual differences in multidimensional scaling
• The quantile probability model
• A case study of the widely applicable Bayesian information criterion and its optimality
• Joint modelling of longitudinal and survival data in the presence of competing risks with applications to prostate cancer data
• Detecting structural changes in longitudinal network data
• Generalized predictive information criteria for the analysis of feature events
• Approximating cross-validatory predictive evaluation in Bayesian latent variable models with integrated IS and WAIC
• Bayesian Multivariate Distributional Regression With Skewed Responses and Skewed Random Effects
• Bayesian calibration, validation and uncertainty quantification for predictive modelling of tumour growth: a tutorial
• Bayesian inference for conditional copulas using Gaussian process single index models
• Using stacking to average Bayesian predictive distributions (with discussion)
• Adaptive selection and validation of models of complex systems in the presence of uncertainty
• Consensus theory for mixed response formats
• Flexible robust mixture regression modeling
• A latent space model for multilayer network data
• Bayesian Plackett-Luce mixture models for partially ranked data
• Consensus theory for multiple latent traits and consensus groups
• A constrained Metropolis-Hastings Robbins-Monro algorithm for \(\boldsymbol{Q}\) matrix estimation in DINA models
• Semiparametric Bayesian approaches to systems factorial technology
• Investigation of the widely applicable Bayesian information criterion
• Bayesian ordinal regression for multiple criteria choice and ranking
• Modeling the social media relationships of Irish politicians using a generalized latent space stochastic blockmodel
• Extended Bayesian endemic–epidemic models to incorporate mobility data into COVID‐19 forecasting
• Laplace approximation and natural gradient for Gaussian process regression with heteroscedastic Student-\(t\) model
• Online Bayesian learning for mixtures of spatial spline regressions with mixed effects
• Model selection via Bayesian information capacity designs for generalised linear models
• Model-based simultaneous clustering and ordination of multivariate abundance data in ecology
• Bayesian inference of mixed-effects ordinary differential equations models using heavy-tailed distributions
• Approximate Bayesian inference in semi-mechanistic models
• Lasso meets horseshoe: a survey
• Practical Bayesian model evaluation using leave-one-out cross-validation and WAIC
• Title not available (Why is that?)
• Where is the clean air? A Bayesian decision framework for personalised cyclist route selection using R-INLA
• Robust joint modelling of longitudinal and survival data: Incorporating a time‐varying degrees‐of‐freedom parameter
• Log-linear Bayesian additive regression trees for multinomial logistic and count regression models
• Simultaneous transformation and rounding (STAR) models for integer-valued data
• High-dimensional order-free multivariate spatial disease mapping
• A robust linear mixed-effects model for longitudinal data using an innovative multivariate skew-Huber distribution
• Bayesian isotonic logistic regression via constrained splines: an application to estimating the serve advantage in professional tennis
• Bayesian spatial modeling for housing data in South Africa
• Markov switching asymmetric GARCH model: stability and forecasting
• Probabilistic ordinal regression methods for multiple criteria sorting admitting certain and uncertain preferences
• A flexible Bayesian nonconfounding spatial model for analysis of dispersed count data
• A Bayesian generalized explanatory item response model to account for learning during the test
• Bayesian Approaches to Shrinkage and Sparse Estimation
• Bayesian neural networks for uncertainty quantification in data-driven materials modeling
• The development of an information criterion for change-point analysis
• Spatial product partition models
• Hybrid reliability analysis with uncertain statistical variables, sparse variables and interval variables
• Information criteria for prediction when the distributions of current and future observations differ
• Bayesian inference and model comparison for metallic fatigue data
• Bayesian beta regression for bounded responses with unknown supports
• Title not available (Why is that?)
• Bayesian estimation under informative sampling with unattenuated dependence
• Spatial voting models in circular spaces: a case study of the U.S. House of Representatives
• Region-referenced spectral power dynamics of EEG signals: a hierarchical modeling approach
• Spatial Species Sampling and Product Partition Models
• Conditional vs marginal estimation of the predictive loss of hierarchical models using WAIC and cross-validation
• On variational Bayes estimation and variational information criteria for linear regression models
• Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
• Bayesian model-based clustering for longitudinal ordinal data
• Bayesian comparison of latent variable models: conditional versus marginal likelihoods
• Bayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes models
• Estimating animal utilization distributions from multiple data types: a joint spatiotemporal point process framework
• A flexible link for joint modelling longitudinal and survival data accounting for individual longitudinal heterogeneity
• Bayesian zero-inflated negative binomial regression based on Pólya-gamma mixtures
• The biokinetic spectrum for temperature and optimal Darwinian fitness
• An augmented illness-death model for semi-competing risks with clinically immediate terminal events
• A Bayesian nonparametric approach for clustering functional trajectories over time
• R-squared for Bayesian Regression Models
• Diagnostics-driven nonstationary emulators using kernel mixtures
• Properization: constructing proper scoring rules via Bayes acts
• A Bayesian accelerated failure time model for interval censored three-state screening outcomes
• THE INFORMATION BOTTLENECK METHOD FOR OPTIMAL PREDICTION OF MULTILEVEL AGENT-BASED SYSTEMS
• A decision-theoretic approach for model interpretability in Bayesian framework
• Forecast accuracy of a BVAR under alternative specifications of the zero lower bound
• Multisite disease analytics with applications to estimating COVID-19 undetected cases in Canada
• Fast and accurate estimation of non-nested binomial hierarchical models using variational inference
• Extended stochastic block models with application to criminal networks
• Multivariate effect priors in bivariate semiparametric recursive Gaussian models
• Comments on: ``Some recent work on multivariate Gaussian Markov random fields
• Optimal shrinkage estimation of predictive densities under \(\alpha\)-divergences
• A causal exposure response function with local adjustment for confounding: estimating health effects of exposure to low levels of ambient fine particulate matter
• Bayesian analysis of Turkish Income and Living Conditions data, using clustered longitudinal ordinal modelling with Bridge distributed random effects
• Dynamic Bayesian adjustment of anticipatory covariates in retrospective data: application to the effect of education on divorce risk
• Bayesian cylindrical data modeling using Abe-Ley mixtures
• Zero-inflated modeling. I: Traditional zero-inflated count regression models, their applications, and computational tools
• MSPOCK: alleviating spatial confounding in multivariate disease mapping models
• Bayesian approximations to hidden semi-Markov models for telemetric monitoring of physical activity
• Scalable Bayesian high-dimensional local dependence learning
• A dynamic causal modeling of the second outbreak of COVID-19 in Italy
• Some Developments in Bayesian Hierarchical Linear Regression Modeling
• The covariate-adjusted ROC curve: the concept and its importance, review of inferential methods, and a new Bayesian estimator
• Accelerated failure time models for recurrent event data analysis and joint modeling
• An explanatory mixture <scp>IRT</scp> model for careless and insufficient effort responding in self‐report measures
• The Bayesian group Lasso for confounded spatial data
• Anchored Bayesian Gaussian mixture models
• Bayesian analyses of an exponential-Poisson and related zero augmented type models

Uses Software

• BUGS
• BayesDA
• bootstrap

This page was built for publication: Understanding predictive information criteria for Bayesian models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q260993)