Questions tagged [information-criteria]

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How to choose optimal lag length VAR Model AIC SC don't work

Good afternoon, I'm currently confronted with a quagmire. I have weekly data (around 500 observations) for two economics time series and I want to find the optimal lag length for a VAR Model with ...
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11 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%...
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10 views

Information Criterion vs. Cross Validation for Time Series

I've seen a few posts regarding this question but was hoping for a thorough explanation and possibly a source to go with it. Why would we prefer IC methods over cross-validation for time series data? ...
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2answers
99 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, ...
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1answer
77 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 $$x_{t+1}=\phi_{t} x_{t}+w_{t+1}$$ $...
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112 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 ...
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2answers
225 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 ...
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24 views

is there a measure for the roughness of a contour plot

There has to be a measure for the difference between "instantaneous" change of "energy" along a line in a space compared to averaged changed of energy along a line. I could take a smooth surface in ...
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4answers
203 views

Bias induced from model selection

I'm trying to understand the following sentence «Cross-validation and information criteria make a correction for using the data twice (in constructing the posterior and in model assessment) and ...