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Titel:

A Bayesian information criterion for singular models

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Drton, Mathias; Plummer, Martyn
Abstract:
We consider approximate Bayesian model choice for model selection problems that involve models whose Fisher information matrices may fail to be invertible along other competing submodels. Such singular models do not obey the regularity conditions underlying the derivation of Schwarz's Bayesian information criterion BIC and the penalty structure in BIC generally does not reflect the frequentist large sample behaviour of the marginal likelihood. Although large sample theory for the marginal likeli...     »
Stichworte:
Bayesian information criterion, Factor analysis, Mixture model, Model selection, Reduced rank regression, Schwarz information criterion, Singular learning theory
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Journal of the Royal Statistical Society: Series B (Statistical Methodology)
Jahr:
2017
Band / Volume:
79
Jahr / Monat:
2017-02
Quartal:
1. Quartal
Monat:
Feb
Heft / Issue:
2
Seitenangaben Beitrag:
323-380
Sprache:
en
Volltext / DOI:
doi:10.1111/rssb.12187
Verlag / Institution:
Wiley
E-ISSN:
1369-7412
Status:
Verlagsversion / published
Publikationsdatum:
07.02.2017
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