Timeline for Is it inherently invalid to use BIC for model averaging?
Current License: CC BY-SA 3.0
9 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Mar 16, 2016 at 2:20 | answer | added | Glen_b | timeline score: 8 | |
| Mar 15, 2016 at 17:49 | comment | added | Richard Hardy | Let us continue this discussion in chat. | |
| Mar 15, 2016 at 17:40 | comment | added | Bryan | That was the impression I got from this: mathfaculty.fullerton.edu/sbehseta/AIC.vs.BIC.pdf And other readings | |
| Mar 15, 2016 at 17:33 | comment | added | Richard Hardy | First, I am commenting, not answering. I hope my comments could shed some light on the topic and be relevant (perhaps indirectly) to the question. Second, I have said two times already that the existence of a true model may not be an assumption behind BIC. Are you sure it is? (Do you have a reference?) If it is not, than your question should be reformulated as it contains a false statement. | |
| Mar 15, 2016 at 17:30 | comment | added | Bryan | That is still not any answer to what I asked. I will quote myself, since there seems to be some difficulty in understanding: "why do people use BIC for model averaging? Doesn't that contradict an important assumption behind BIC?" | |
| Mar 15, 2016 at 17:27 | comment | added | Richard Hardy | You said BIC presumes that there is a "true" model -- and I offered a case when this is relevant; it is relevant for the consistency of BIC. However, should this be relevant for other properties or uses of BIC such as model averaging? Perhaps not. At least the existence of a true model is not required for BIC to be well defined, or is it? | |
| Mar 15, 2016 at 17:18 | comment | added | Bryan | That's not an answer to what I asked. I asked if BIC is theoretically incompatible with model averaging, which is not the same thing as model selection. I didn't ask whether or not BIC was consistent at all. | |
| Mar 15, 2016 at 15:53 | comment | added | Richard Hardy | A true model is needed for being able to talk about the consistency of BIC. However, absence of a true model does not make BIC useless. Intuitively, a model that approximates the true model relatively well should be ranked highly by BIC when compared to other models that are poorer approximations. | |
| Mar 15, 2016 at 15:19 | history | asked | Bryan | CC BY-SA 3.0 |