Focused Information Criteria, Model Selection, and Model Averaging in a Tobit Model With a Nonzero Threshold

2012 ◽  
Vol 30 (1) ◽  
pp. 132-142 ◽  
Author(s):  
Xinyu Zhang ◽  
Alan T. K. Wan ◽  
Sherry Z. Zhou
Keyword(s):  
Model Selection ◽  
Model Averaging ◽  
Tobit Model ◽  
Information Criteria

scholarly journals Interaction Effects on Prediction of Children Weight at School Entry Using Model Averaging

2018 ◽  
Vol 7 (4.30) ◽  
pp. 205
Author(s):  
Khuneswari Gopal Pillay ◽  
Sya Sya Syahira Muhammad Fitri Avtar ◽  
Mohd Asrul Affendi Abdullah
Keyword(s):  
Model Selection ◽  
Model Building ◽  
Mean Squared Error ◽  
Selection Criterion ◽  
Model Averaging ◽  
Interaction Effects ◽  
Small Sample ◽  
Information Criteria ◽  
Interaction Variables ◽  
Main Factor

Model selection introduce uncertainty to the model building process, therefore model averaging was introduced as an alternative to overcome the problem of underestimate of standards error in model selection. This research also focused on using selection criteria between Corrected Akaike's Information Criteria (AICC) and Bayesian Information Criteria (BIC) as weight for model averaging when involving interaction effects. Mean squared error of prediction (MSE(P)) was used in order to determine the best model for model averaging. Gateshead Millennium Study (GMS) data on children weight used to illustrate the comparison between AICC and BIC. The results showed that model selection criterion AICC performs better than BIC when there are small sample and large number of parameters included in the model. The presence of interaction variable in the model is not significant compared to the main factor variables due to the lower coefficient value of interaction variables. In conclusion, interaction variables give less information to the model as it coefficient value is lower than main factor.

scholarly journals Normalized Information Criteria and Model Selection in the Presence of Missing Data

Mathematics ◽  
2021 ◽  
Vol 9 (19) ◽  
pp. 2474
Author(s):  
Nitzan Cohen ◽  
Yakir Berchenko
Keyword(s):  
Missing Data ◽  
Model Selection ◽  
Missing Values ◽  
Model Averaging ◽  
Information Criterion ◽  
Current Theory ◽  
Information Criteria ◽  
Alternative Methods ◽  
Sample Sizes ◽  
Statistical Efficiency

Information criteria such as the Akaike information criterion (AIC) and Bayesian information criterion (BIC) are commonly used for model selection. However, the current theory does not support unconventional data, so naive use of these criteria is not suitable for data with missing values. Imputation, at the core of most alternative methods, is both distorted as well as computationally demanding. We propose a new approach that enables the use of classic well-known information criteria for model selection when there are missing data. We adapt the current theory of information criteria through normalization, accounting for the different sample sizes used for each candidate model (focusing on AIC and BIC). Interestingly, when the sample sizes are different, our theoretical analysis finds that AICj/nj is the proper correction for AICj that we need to optimize (where nj is the sample size available to the jth model) while −(BICj−BICi)/(nj−ni) is the correction of BIC. Furthermore, we find that the computational complexity of normalized information criteria methods is exponentially better than that of imputation methods. In a series of simulation studies, we find that normalized-AIC and normalized-BIC outperform previous methods (i.e., normalized-AIC is more efficient, and normalized BIC includes only important variables, although it tends to exclude some of them in cases of large correlation). We propose three additional methods aimed at increasing the statistical efficiency of normalized-AIC: post-selection imputation, Akaike sub-model averaging, and minimum-variance averaging. The latter succeeds in increasing efficiency further.

scholarly journals Model Selection Procedures in Bounds Test of Cointegration: Theoretical Comparison and Empirical Evidence

Economies ◽  
2020 ◽  
Vol 8 (2) ◽  
pp. 49 ◽  
Author(s):  
Waqar Badshah ◽  
Mehmet Bulut
Keyword(s):  
Model Selection ◽  
Akaike Information Criterion ◽  
Bayesian Information Criterion ◽  
Selection Process ◽  
Information Criterion ◽  
Small Sample ◽  
Information Criteria ◽  
Path Model ◽  
Sample Sizes ◽  
Bounds Test

Only unstructured single-path model selection techniques, i.e., Information Criteria, are used by Bounds test of cointegration for model selection. The aim of this paper was twofold; one was to evaluate the performance of these five routinely used information criteria {Akaike Information Criterion (AIC), Akaike Information Criterion Corrected (AICC), Schwarz/Bayesian Information Criterion (SIC/BIC), Schwarz/Bayesian Information Criterion Corrected (SICC/BICC), and Hannan and Quinn Information Criterion (HQC)} and three structured approaches (Forward Selection, Backward Elimination, and Stepwise) by assessing their size and power properties at different sample sizes based on Monte Carlo simulations, and second was the assessment of the same based on real economic data. The second aim was achieved by the evaluation of the long-run relationship between three pairs of macroeconomic variables, i.e., Energy Consumption and GDP, Oil Price and GDP, and Broad Money and GDP for BRICS (Brazil, Russia, India, China and South Africa) countries using Bounds cointegration test. It was found that information criteria and structured procedures have the same powers for a sample size of 50 or greater. However, BICC and Stepwise are better at small sample sizes. In the light of simulation and real data results, a modified Bounds test with Stepwise model selection procedure may be used as it is strongly theoretically supported and avoids noise in the model selection process.

scholarly journals Characterizing the effects of sex, APOE ɛ4, and literacy on mid-life cognitive trajectories: Application of Information-Theoretic model-averaging and multi-model inference techniques to the Wisconsin Registry for Alzheimer’s Prevention Study

2017 ◽  
Author(s):  
Rebecca L. Koscik ◽  
Derek L. Norton ◽  
Samantha L. Allison ◽  
Erin M. Jonaitis ◽  
Lindsay R. Clark ◽  
...  
Keyword(s):  
Model Selection ◽  
Cognitive Decline ◽  
Model Averaging ◽  
Parameter Estimates ◽  
Theoretic Model ◽  
Traditional Model ◽  
Test Model ◽  
Prevention Study ◽  
Information Theoretic ◽  
Modifiable Factors

ObjectiveIn this paper we apply Information-Theoretic (IT) model averaging to characterize a set of complex interactions in a longitudinal study on cognitive decline. Prior research has identified numerous genetic (including sex), education, health and lifestyle factors that predict cognitive decline. Traditional model selection approaches (e.g., backward or stepwise selection) attempt to find models that best fit the observed data; these techniques risk interpretations that only the selected predictors are important. In reality, several models may fit similarly well but result in different conclusions (e.g., about size and significance of parameter estimates); inference from traditional model selection approaches can lead to overly confident conclusions.MethodHere we use longitudinal cognitive data from ~1550 late-middle aged adults the Wisconsin Registry for Alzheimer’s Prevention study to examine the effects of sex, Apolipoprotein E (APOE) ɛ4 allele (non-modifiable factors), and literacy achievement (modifiable) on cognitive decline. For each outcome, we applied IT model averaging to a model set with combinations of interactions among sex, APOE, literacy, and age.ResultsFor a list-learning test, model-averaged results showed better performance for women vs men, with faster decline among men; increased literacy was associated with better performance, particularly among men. APOE had less of an effect on cognitive performance in this age range (~40-70).ConclusionsThese results illustrate the utility of the IT approach and point to literacy as a potential modifier of decline. Whether the protective effect of literacy is due to educational attainment or intrinsic verbal intellectual ability is the topic of ongoing work.

scholarly journals Using Model Selection Criteria to Choose the Number of Principal Components

2021 ◽  
Vol 20 (3) ◽  
pp. 450-461
Author(s):  
Stanley L. Sclove
Keyword(s):  
Model Selection ◽  
Principal Components ◽  
Bayesian Information Criterion ◽  
Selection Criteria ◽  
Information Criterion ◽  
Information Criteria ◽  
Akaike's Information Criterion ◽  
Model Selection Criteria ◽  
Adequate Number ◽  
Number Of Principal Components

AbstractThe use of information criteria, especially AIC (Akaike’s information criterion) and BIC (Bayesian information criterion), for choosing an adequate number of principal components is illustrated.

scholarly journals Bayesian Model Averaging to Account for Model Uncertainty in Estimates of a Vaccine's Effectiveness

2021 ◽  
Author(s):  
Carlos R Oliveira ◽  
Eugene D Shapiro ◽  
Daniel M Weinberger
Keyword(s):  
Model Selection ◽  
Model Uncertainty ◽  
Bayesian Model ◽  
Bayesian Model Averaging ◽  
Model Averaging ◽  
Selection Methods ◽  
Final Model ◽  
Negative Case ◽  
Confounder Selection ◽  
Control Study

Vaccine effectiveness (VE) studies are often conducted after the introduction of new vaccines to ensure they provide protection in real-world settings. Although susceptible to confounding, the test-negative case-control study design is the most efficient method to assess VE post-licensure. Control of confounding is often needed during the analyses, which is most efficiently done through multivariable modeling. When a large number of potential confounders are being considered, it can be challenging to know which variables need to be included in the final model. This paper highlights the importance of considering model uncertainty by re-analyzing a Lyme VE study using several confounder selection methods. We propose an intuitive Bayesian Model Averaging (BMA) framework for this task and compare the performance of BMA to that of traditional single-best-model-selection methods. We demonstrate how BMA can be advantageous in situations when there is uncertainty about model selection by systematically considering alternative models and increasing transparency.

scholarly journals How to improve parameter estimates in GLM-based fMRI data analysis: cross-validated Bayesian model averaging

2016 ◽  
Author(s):  
Joram Soch ◽  
Achim Pascal Meyer ◽  
John-Dylan Haynes ◽  
Carsten Allefeld
Keyword(s):  
Data Analysis ◽  
Model Selection ◽  
Bayesian Model ◽  
Bayesian Model Averaging ◽  
Model Averaging ◽  
Bayesian Model Selection ◽  
Fmri Data ◽  
Parameter Estimates ◽  
Fmri Data Analysis ◽  
Level Analysis

AbstractIn functional magnetic resonance imaging (fMRI), model quality of general linear models (GLMs) for first-level analysis is rarely assessed. In recent work (Soch et al., 2016: “How to avoid mismodelling in GLM-based fMRI data analysis: cross-validated Bayesian model selection”, NeuroImage, vol. 141, pp. 469-489; DOI: 10.1016/j. neuroimage.2016.07.047), we have introduced cross-validated Bayesian model selection (cvBMS) to infer the best model for a group of subjects and use it to guide second-level analysis. While this is the optimal approach given that the same GLM has to be used for all subjects, there is a much more efficient procedure when model selection only addresses nuisance variables and regressors of interest are included in all candidate models. In this work, we propose cross-validated Bayesian model averaging (cvBMA) to improve parameter estimates for these regressors of interest by combining information from all models using their posterior probabilities. This is particularly useful as different models can lead to different conclusions regarding experimental effects and the most complex model is not necessarily the best choice. We find that cvBMS can prevent not detecting established effects and that cvBMA can be more sensitive to experimental effects than just using even the best model in each subject or the model which is best in a group of subjects.

A COMPARISON OF NEURAL NETWORK MODEL SELECTION STRATEGIES FOR THE PRICING OF S&P 500 STOCK INDEX OPTIONS

2007 ◽  
Vol 16 (06) ◽  
pp. 1093-1113 ◽  
Author(s):  
N. S. THOMAIDIS ◽  
V. S. TZASTOUDIS ◽  
G. D. DOUNIAS
Keyword(s):  
Neural Network ◽  
Model Selection ◽  
Network Model ◽  
Neural Network Model ◽  
Information Criteria ◽  
Stock Index ◽  
Statistical Hypothesis ◽  
Neural Network Models ◽  
Index Options ◽  
Pruning Technique

This paper compares a number of neural network model selection approaches on the basis of pricing S&P 500 stock index options. For the choice of the optimal architecture of the neural network, we experiment with a “top-down” pruning technique as well as two “bottom-up” strategies that start with simple models and gradually complicate the architecture if data indicate so. We adopt methods that base model selection on statistical hypothesis testing and information criteria and we compare their performance to a simple heuristic pruning technique. In the first set of experiments, neural network models are employed to fit the entire options surface and in the second they are used as parts of a hybrid intelligence scheme that combines a neural network model with theoretical option-pricing hints.

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