A variant of AIC based on the Bayesian marginal likelihood

DOI10.1007/S13571-018-0152-7zbMATH Open1392.62206OpenAlexW2964252496MaRDI QIDQ721607FDOQ721607

Authors Yuki Kawakubo, Tatsuya Kubokawa, Muni S. Srivastava

Publication date 19 July 2018

Published in Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.07102

zbMATH Keywords

variable selectionBICconsistencyAIClinear regression modelKullback-Leibler divergenceresidual information criterion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05)

Abstract: We propose information criteria that measure the prediction risk of a predictive density based on the Bayesian marginal likelihood from a frequentist point of view. We derive criteria for selecting variables in linear regression models, assuming a prior distribution of the regression coefficients. Then, we discuss the relationship between the proposed criteria and related criteria. There are three advantages of our method. First, this is a compromise between the frequentist and Bayesian standpoints because it evaluates the frequentist's risk of the Bayesian model. Thus, it is less influenced by a prior misspecification. Second, the criteria exhibits consistency when selecting the true model. Third, when a uniform prior is assumed for the regression coefficients, the resulting criterion is equivalent to the residual information criterion (RIC) of Shi and Tsai (2002).

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Cited in

(4)

• Variable selection criteria based on multiple correlation coefficient in regression model
• ON VARIABLE SELECTION IN LINEAR REGRESSION
• Consistent Bayesian information criterion based on a mixture prior for possibly high‐dimensional multivariate linear regression models
• Bayesian prediction and model selection for locally asymptotically mixed normal models

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