On Model Selection, Bayesian Networks, and the Fisher Information Integral

We study BIC-like model selection criteria and in particular, their refinements that include a constant term involving the Fisher information matrix. We perform numerical simulations that enable increasingly accurate approximation of this constant in the case of Bayesian networks. We observe that for complex Bayesian network models, the constant term is a negative number with a very large absolute value that dominates the other terms for small and moderate sample sizes. For networks with a fixed number of parameters, d, the leading term in the complexity penalty, which is proportional to d, is the same. However, as we show, the constant term can vary significantly depending on the network structure even if the number of parameters is fixed. Based on our experiments, we conjecture that the distribution of the nodes’ outdegree is a key factor. Furthermore, we demonstrate that the constant term can have a dramatic effect on model selection performance for small sample sizes.Peer reviewe

A Practical, Accurate, Information Criterion for Nth Order Markov Processes

The recent increase in the breath of computational methodologies has been matched with a corresponding increase in the difficulty of comparing the relative explanatory power of models from different methodological lineages. In order to help address this problem a Markovian information criterion (MIC) is developed that is analogous to the Akaike information criterion (AIC) in its theoretical derivation and yet can be applied to any model able to generate simulated or predicted data, regardless of its methodology. Both the AIC and proposed MIC rely on the Kullback–Leibler (KL) distance between model predictions and real data as a measure of prediction accuracy. Instead of using the maximum likelihood approach like the AIC, the proposed MIC relies instead on the literal interpretation of the KL distance as the inefficiency of compressing real data using modelled probabilities, and therefore uses the output of a universal compression algorithm to obtain an estimate of the KL distance. Several Monte Carlo tests are carried out in order to (a) confirm the performance of the algorithm and (b) evaluate the ability of the MIC to identify the true data-generating process from a set of alternative models