All Questions
Tagged with model-selection aic
341
questions
9
votes
0
answers
93
views
Any Insights on the adoption and use of the Healthy Akaike Information Criterion (hAIC)?
Recently, I came across the Healthy Akaike Information Criterion (hAIC), introduced by Demidenko in his 2004 book "Mixed Models: Theory and Applications with R." Despite its (potential) ...
- 64.1k
3
votes
1
answer
55
views
What's the relationship between "bias-variance tradeoff" and "consistent model selection"?
I'm very confused about the relationship between "bias-variance tradeoff" and "consistent model selection". Based on my current interpretation, the ultimate goal of taking care of ...
- 2,966
0
votes
0
answers
15
views
Comparing and selecting models, constructing objective function (complexity, prior knowledge on the distribution of parameter values)
We have a set of models that were derived using some fitting routine that optimizes parameter values utilizing $\chi^2$ for a given model.
model1 has 100 parameters,
model2 has 99 parameters,
...
...
- 113
1
vote
1
answer
29
views
Interpreting AIC relative likelihoods ( qpcR::akaike.weights() )
I want to ensure that I am correctly interpreting AIC relative likelihood (RL) scores, specifically those returned by qpcR::akaike.weights$rel.LL. For example, I ...
- 71
4
votes
2
answers
252
views
Generalized additive model: Variable & model selection
I know this type of question has been asked many times before, so I apologize for re-posting about it. I bring it up again because it's been taught in one of my courses of study and I want to make ...
- 1,653
4
votes
0
answers
27
views
Why do model selection criteria (xICs, etc) not explicitly incorporate a loss function?
Model Selection and Multimodel Inference by Burnham and Anderson notes that TIC, AIC, AICc and QAICc are based on K-L distance between a given model and true model. Also BIC is in a sense based on ...
- 939
1
vote
1
answer
69
views
Calculate (quasi) AIC for mixed-effect baseline-category (multinomial logit) model
I am doing a discrete choice experiment where respondents are presented with different patient profiles, and for each profile, respondents need to choose one (out of three) treatment options. An ...
- 13
0
votes
0
answers
37
views
BMA formula with BIC
I am interested in using Bayesian modele averaging as a selection creteria (BMA) vs AIC. I read that BMA is widely implemented in clustering models.
Suppose that we need to fit M models to a data and ...
- 650
2
votes
0
answers
85
views
Is AIC scale invariant for problems concerning the number of data points in regression?
I am trying to use Akaike Information Criterion with the small sample correction (AICc) as method for determining how many data points to use in a linear approximation of a non-linear function; the ...
- 21
4
votes
1
answer
273
views
Selecting the model by bootstrapping: AIC vs. log-loss?
I'm building a predictive model with potentially multiple predictors. To that end, I try different, nested models, each with one more predictor than the previous one and compare their AICs. The AIC ...
- 9,418
1
vote
1
answer
157
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Is there a function like auto.arima which gives the best VAR model according to a metric like AIC? [closed]
The function auto.arima from the forecast package, automatically fits the best ARIMA model given a time series, by evaluating on a metric like AIC, AICc or BIC.
I ...
- 193
3
votes
1
answer
59
views
Model section when AIC and logLik differ
To analyze my ordinal (Liker scale ratings) I used the clmm function for the ordinal package. Since I have fixed and random ...
- 43
3
votes
1
answer
740
views
Why is BIC considered consistent (though AIC is mostly used) for large number of observation?
AIC, BIC are the famous criteria for model selection. But many times they show different results.
I read in several places that BIC is consistent while AIC is not. And AIC can achieve minimax rate but ...
user369390
1
vote
2
answers
81
views
What AIC is necessary to select this model?
I have read this page but am a little confused and I think a real example might help solidify the idea in my mind regarding how to use the AIC in model selection.
Equivalence of AIC and p-values in ...
- 771
0
votes
0
answers
171
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AIC and SC tend to select the maximum lag for VECM
I am building a VAR modell in order to discover how oil price shocks and 3 macroeconomic control variables (gdp_growth, Interest rate, exchange rate) influence core and headline inflation in the USA. ...
