# Aikaike's AIC is cross-entropy because of redundancy of $\mathbb{E}[\cdot]$ term?

In the first line of the original paper for AIC (1973) "Information Theory and an Extension to Maximum Likelihood Principle", there is the following statement:

I'm wondering if the underlined red Expectation symbol is necessary (adds anything I'm not aware of). As far as I can tell, this is just a statement of traditional cross-entropy term in information theory, i.e.:

$$$$\mathbb{E}_{X\sim P(X)}[\log Q(X)] = \int_{\mathcal{X}} p(x)\log q(x) dx,$$$$

and under this definition that additional $$\mathbb{E}[\cdot]$$ does not need to be there, or am I missing something subtle?

Consider RV $$X$$ distributed wrt a density $$f(x\mid\theta_0)$$ (some observed) Here we assume the data can be generated through a parameterization (justify the presence of conditioning), and that in particular samples wrt $$X$$ are generated wrt a true parameter $$\theta_0$$.

Consider similarly a new RV for some new data, $$Z$$, distributed wrt density $$f(z\mid \theta_0)$$ (and thus generated through the same underlying process as $$X$$). However we will use this $$Z$$ to form an estimator for $$\theta_0$$, which is $$\hat{\theta}(Z)$$, denoted as $$\hat{\theta}$$ for short. Moreover consider $$X$$ and $$Z$$ to be separate (i.e. independent draws).

Akaike attempts to work with the following expected log-likelihood, $$\mathbb{E}_{(X,Z)}[\log f(X\mid \hat{\theta})] = \mathbb{E}_{Z}\mathbb{E}_{X}[\log f(X\mid \hat{\theta})]$$ (law of iterated expectation with $$X\perp Z$$). Remembering that $$X$$ has associated density $$f(x \mid \theta_0)$$, we thus arrive at:

$$$$\mathbb{E}_{(X,Z)}[\log f(X\mid \hat{\theta})] = \mathbb{E}_{Z}\left[\int_{\mathcal{X}} f(x | \theta_0)\log f(x\mid \hat{\theta}) dx \right]$$$$

Indeed this acts like a form of "mean cross entropy" where we are averaging the estimator $$\hat{\theta}$$ across the randomness of $$Z$$. The purpose of AIC is to minimize such a discrepancy (as the naive MLE would select $$\hat{\theta} = \arg \min f(z\mid \theta_0)$$).

Indeed it was very subtle!

I like this answer also provided (linked below). It has a lot of parallel intution wrt the two datasets mentioned. The extension to the train/test split is particularly cool, and how AIC tries to approximate this in a single sample

AIC with test data, is it possible?

I think you are correct: strictly speaking there should be no $$\mathbb{E}$$ before the integral term (which, by the way, also appears in equation 1.2, but not in equation 2.1). There is one way to see it: the best estimate $$\hat{\theta}$$ of the ground truth value $$\theta$$ will be the one that will minimize the Kullback-Leibler divergence between the estimated distribution $$f(x|\hat{\theta})$$ and the true distribution $$f(x|\theta)$$: $$D_{KL} = \int_x f(x|\theta) \log f(x|\theta) - \int_x f(x|\theta) \log f(x|\hat{\theta})$$

The second integral in the right-hand side is the only one that depends on $$\hat{\theta}$$, and it needs to be maximized to minimize the $$D_{KL}$$, hence the statement prior to equation 1.1.

But adding the $$\mathbb{E}$$ symbol is not wrong in itself. Indeed, the integral $$\int_x f(x|\theta) \log f(x|\hat{\theta})$$ is only a function of $$\hat{\theta}$$ and $$\theta$$ (and not of $$x$$), so averaging over $$x \sim f(x|\theta)$$ is going to leave it unchanged.

I would be happy to see if someone has a different opinion on this.

• Thanks for your contribution. See my answer and let me know what you think! May 13, 2020 at 10:56