统计A Critique of the Bayesian Information Criterion for Model Selection

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A Critique of the Bayesian Information Criterion for Model Selection

文献名称	A Critique of the Bayesian Information Criterion for Model Selection
文献作者	DAVID L. WEAKLIEM
作者所在单位	University of Connecticut
文献分类	已发表文献
学科一级分类	统计
学科二级分类	统计学
文献摘要	The Bayesian information criterion (BIC) has become a popular criterion for model se- lection in recent years. The BIC is intended to provide a measure of the weight of evi- dence favoring one model over another, or Bayes factor. It has, however, some important drawbacks that are not widely recognized. First, Bayes factors depend on prior beliefs about the expected distribution of parameter values, and there is no guarantee that the Bayes factor implied by the B1C will be close to one calculated from a prior distribution that an observer would actually regard as appropriate. Second, to obtain the Bayes fac- tors that follow from the BIC, investigators would have to vary their prior distributions depending on the marginal distributions of the variables and the nature of the hypothesis. Such variations seem unwarranted in principle and tend to make the B1C inclined to fa- vor excessively simple models in practice. These points are illustrated by the analysis of several examples, and alternatives to use of the BIC are discussed.
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关键字	Critique ; Bayesian Information Criterion ; Model Selection
发表所在刊物（或来源）	SOCIOLOGICAL METHODS & RESEARCH, Vol. 27 No. 3, February 1999 359-397
发表时间	February 1999
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