# Questions tagged [information-criteria]

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### 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 ...
101 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 ...
47 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 ...
25 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 ...
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 ...
157 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 ...
600 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, ...