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# Questions tagged [information-criteria]

Information-criteria for model selection such as aic, bic, dic, mdl and others

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### VAR models: Constant inclusion and information criteria

My question is straightforward: can information criterion be used to determine whether to include a constant in a VAR model? My imagined workflow is as follows: since most packages include a ...
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596 views

### Augmented Dickey Fuller test, determining the number of lags used

In a paper by Mark P. Taylor he conducts ADF tests on exchange rates and he describes the determination of lag number with "The number of lagged dependents that we need to include to induce ...
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1 vote
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### Log-Likelihood Computation for AIC & BIC

Considering $n$ observations that an be modelled by a Gaussian error model and two nested motion models with $p = 4$ and $p = 7$ parameters, I want to compute the log likelihoods $L$ given the Maximum ...
647 views

### Criterion to Pick Number of hidden layers for MLP based on score

I'm training a classifier with a set of training data and checking the result with a set of test data. I'm using sklearn score based on all data and iteratively ...
162 views

### Comparing model performance: do fixed and random effect regression models give different model ranking?

I am a graduate student in animal science. I am comparing linear models that fit covariates of var1 and var2. These two covariates are decomposed from one quantity say F (inbreeding level of animal). ...
338 views

### How can I compare the performance of model selected by AIC and K-fold cross validation?

guys. I try to compare the model selection criterions. The model is built as a linear regression with 20 explanatory variables. More precisely, what I did so far, is spilting the data into training(70%...
1 vote
3k views

### Feature subset selection by stepwise regression for a random forest model?

I would like to build a random forest model for regression. I have an abundance of potential features, and I expect only some of them to have a significant impact on the target variable. In addition, ...
1 vote
315 views

### Clarification on Akaike's IC (AIC) and BIC for Expectation Maximization with time-changing parameters

I apologize in advance for the trivial question, but I need a clarification on the following issue. Suppose I have a generic model in state-space form described as $$x_{t+1}=\phi_{t} x_{t}+w_{t+1}$$ \$...
362 views

### WAIC for model comparisons--overly conservative?

I'm having a hard time wrapping my head around the relationship between model posterior predictions and model comparisons via WAIC. Specifically, how do I interpret findings where a model including ...
996 views

### Why is the bayesian information criterion called that way?

The word "Bayes" suggests that we are updating a distribution using data, to get a posterior distribution. The fact that the Bayesian information criterion (BIC) is used to select a model from a set ...