A Variant of AIC based on the Bayesian Marginal Likelihood (1503.07102v5)

Abstract: We propose information criteria that measure the prediction risk of a predictive density based on the Bayesian marginal likelihood from a frequentist point of view. We derive criteria for selecting variables in linear regression models, assuming a prior distribution of the regression coefficients. Then, we discuss the relationship between the proposed criteria and related criteria. There are three advantages of our method. First, this is a compromise between the frequentist and Bayesian standpoints because it evaluates the frequentist's risk of the Bayesian model. Thus, it is less influenced by a prior misspecification. Second, the criteria exhibits consistency when selecting the true model. Third, when a uniform prior is assumed for the regression coefficients, the resulting criterion is equivalent to the residual information criterion (RIC) of Shi and Tsai (2002).