# Questions tagged [information-criteria]

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### How to use BIC (Bayesian Information Criterion) if the data are not identically distributed but rely on other covariate?

I'm now constructing some models and would like to compare and select the models. I read the wikipedia and some slides about BIC, then I found the ML(maximum likelihood) part in BIC seems to be based ...
20 views

### Is there any rationale for rules of thumb for maxlag selection?

I understand that the optimum number of lags can be selected using some information criterion (e.g. Akaike (AIC), Schwartz Bayesian Information Criterion (SBIC) etc.). However, in order to select the ...
6 views

### Compare two models over different datasets

The problem: My datasets consist of the brightness of an astronomical object in different frequencies (radio, optical, x-ray etc). I gathered data for several days as I observed the brightness of the ...
22 views

### How to get log-likelihood from squared deviance in Scikit Learn

The score() function computes D^2, the percentage of deviance explained, but I'd like to get the log-likelihood to calculate BIC. What's the formula to go from deviance to log-likelihood? Score ...
29 views

### More efficient way to find the model with the lowest AIC?

I am working on the zero-inflated Poisson model with a dataset, and trying to find a combination of variables that yields the lowest AIC. I used a series of for loops in R, but it takes forever to get ...
40 views

### Model comparison with intractable likelihood using approximate Bayesian Computation

I have some models based on stochastic differential equations (SDEs). Because of the definition of these models, I can simulate data, but I cannot compute the likelihood function / distribution ...
14 views

### How to choose information criterion?

In time series analysis, it is often important to determine the optimum number of lags in order to remove serial correlation. For example, in VAR, Dickey-Fuller unit-root test or Granger causality ...
46 views

### The similarity between Mallows Cp and AIC?

It is possible to compute the log-likelihood used for AIC as $n /log(RSS/n) + const$ or even as $RSS/\sigma^2 + n\log(\sigma) + const$ considering the least-square or MLE scenario for linear and non-...
18 views

### How can be information criteria used with non-independent samples?

I'm puzzled by the following. Many, if not all, of the Information Criteria (AIC, WAIC, LOOIC, PSIS, ...) rely on the independence of the samples -- that we can remove a part, that one point is ...
99 views

### The Ambiguity in Schwarz Information Criterion Definition

Suppose there are 100 countries, $i = 1, 2, ..., 100$. Let $b_i$ be the median birth weight of all new born boys in country #i in 2019. Let $g_i$ be the median birth weight of all new born girls in ...
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### 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 ...