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NIPS
2007

Catching Up Faster in Bayesian Model Selection and Model Averaging

14 years 18 days ago
Catching Up Faster in Bayesian Model Selection and Model Averaging
Bayesian model averaging, model selection and their approximations such as BIC are generally statistically consistent, but sometimes achieve slower rates of convergence than other methods such as AIC and leave-one-out cross-validation. On the other hand, these other methods can be inconsistent. We identify the catch-up phenomenon as a novel explanation for the slow convergence of Bayesian methods. Based on this analysis we define the switch-distribution, a modification of the Bayesian model averaging distribution. We prove that in many situations model selection and prediction based on the switch-distribution is both consistent and achieves optimal convergence rates, thereby resolving the AIC-BIC dilemma. The method is practical; we give an efficient algorithm.
Tim van Erven, Peter Grunwald, Steven de Rooij
Added 30 Oct 2010
Updated 30 Oct 2010
Type Conference
Year 2007
Where NIPS
Authors Tim van Erven, Peter Grunwald, Steven de Rooij
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