3
$\begingroup$

I've been reading up alot on the AIC value for GLM models and it has come to my attention that pretty much all of my litterature claims that AIC penalizes the model with too many variables without mensioning what the penalty actually is.

Is there anyone here who cares to explain to me how AIC penalizes models with too many variables? How does AIC show that an arbitrary model with for example 3 explanatory variables is better than a model with say 7 variables?

$\endgroup$
2
  • $\begingroup$ By not doing it! AIC is only a simple formula, it has no hidden inteligence or magic that can see if your model is overfitted. It just counts the number of parameters, multiplies that by two, and subtracts from the maximized likelihood. So, basically, it just assumes that overfitting comes from having many parameters. $\endgroup$ May 9, 2017 at 20:17
  • 1
    $\begingroup$ uh, no. there is actually a mathematical theory behind AIC. the derivation of AIC depends heavily on the central limit theorem, which is part of why AIC doesn't work that well in many situations, but it's still more than just an arbitrary fudge factor. $\endgroup$ May 10, 2017 at 16:08

1 Answer 1

7
$\begingroup$

The definition of AIC is

$$ \mathrm{AIC} = 2k - 2 \ln (\hat{L}) $$

Where $\hat{L}$ is the likelihood of the model and $k$ is the number of parameters. Lower AIC values indicate better fits - higher likelihoods with fewer parameters.

explain to me how AIC penalizes models with too many variables?

The $2k$ term in AIC means that the AIC will go up by 2 for every additional parameter estimated. This is how AIC penalizes models for adding extra terms.

How does AIC show that an arbitrary model with for example 3 explanatory variables is better than a model with say 7 variables?

When comparing a simple model to a complex model, the log likelihood of the complex model must be greater than the log likelihood of the simple model by at least the number of additional parameters for the AIC to go down, indicating that the more complex model is a better fit.

In practice, a rule of thumb is often used: if the change in AIC is less than 2, the difference in fit is negligible; if the change is more than 10 there is strong evidence in support of the model with lower AIC. Using the "strong evidence" threshold of 10, a more complex model would need to improve the log likelihood by at least 5 per additional parameter for the complexity to be justified.

Other metrics, such as corrected AIC (AICc), also take the number of observations into account. You can browse some highly-voted question on AIC for lots of interesting discussion.

$\endgroup$
1
  • $\begingroup$ well thank you very much for that great explanation! Really appreciate it, i understand now! :) @Gregor $\endgroup$
    – Janono
    May 9, 2017 at 20:18

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.