Investigation of the widely applicable Bayesian information criterion

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Show simple item record Friel, Nial McKeone, J. P. Oates, Chris J. Pettitt, Anthony 2017-03-10T17:12:03Z 2017-05-19T01:00:12Z 2016 Springer en 2017-05
dc.identifier.citation Statistics and Computing en
dc.description.abstract The widely applicable Bayesian information criterion (WBIC) is a simple and fast approximation to the model evidence that has received little practical consideration. WBIC uses the fact that the log evidence can be written as an expectation, with respect to a powered posterior proportional to the likelihood raised to a power t(0,1)t(0,1) , of the log deviance. Finding this temperature value tt is generally an intractable problem. We find that for a particular tractable statistical model that the mean squared error of an optimally-tuned version of WBIC with correct temperature tt is lower than an optimally-tuned version of thermodynamic integration (power posteriors). However in practice WBIC uses the a canonical choice of t=1/log(n)t=1/log(n) . Here we investigate the performance of WBIC in practice, for a range of statistical models, both regular models and singular models such as latent variable models or those with a hierarchical structure for which BIC cannot provide an adequate solution. Our findings are that, generally WBIC performs adequately when one uses informative priors, but it can systematically overestimate the evidence, particularly for small sample sizes. en
dc.description.sponsorship Science Foundation Ireland en
dc.language.iso en en
dc.publisher Springer en
dc.rights The final publication is available at Springer via en
dc.subject Machine learning en
dc.subject Statistics en
dc.subject Marginal likelihood en
dc.subject Evidence en
dc.subject Power posteriors en
dc.subject Widely applicable Bayesian information criterion en
dc.title Investigation of the widely applicable Bayesian information criterion en
dc.type Journal Article en
dc.status Peer reviewed en
dc.identifier.volume 27 en
dc.identifier.issue 3 en
dc.identifier.startpage 833 en
dc.identifier.endpage 844 en
dc.identifier.doi 10.1007/s11222-016-9657-y
dc.neeo.contributor Friel|Nial|aut|
dc.neeo.contributor McKeone|J. P.|aut|
dc.neeo.contributor Oates|Chris J.|aut|
dc.neeo.contributor Pettitt|Anthony|aut|
dc.description.othersponsorship Australian Postgraduate Award (APA) en
dc.description.othersponsorship Australian Research Council Discovery Grant en 2016-12-05T11:36:16Z

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