On Fri, Oct 23, 2009 at 6:05 PM, Ravi Varadhan <rvarad...@jhmi.edu> wrote: > Frank, > > I have heard this (i.e. only head-to-head comparisons are valid) and various > other folklores about AIC and BIC based model selection before, including > one that these information criteria are only applicable for comparing two > nested models. > > Where has it been demonstrated that AIC/BIC cannot be used to find the best > subset, i.e. the subset that is closest to the "true" model (assuming that > true model is contained in the set of models considered, and that maximum > likelihood estimation is used for estimating parameters in the models)? > > I would greatly appreciate any reference that shows this.
You could look at Claeskens/Hjort: "Model Selection and Model Averaging", for instance section 2.3, AIC and the Kullback-Leibler distance. AIC corresponds to searching for the model with smallest KL distance to thruth, while BIC aims at consistent selection of the true model (assuming that beast exists!) Then they go on to show that this two goals cannot be reconciled. Kjetil > > Best, > Ravi. > > ---------------------------------------------------------------------------- > ------- > > Ravi Varadhan, Ph.D. > > Assistant Professor, The Center on Aging and Health > > Division of Geriatric Medicine and Gerontology > > Johns Hopkins University > > Ph: (410) 502-2619 > > Fax: (410) 614-9625 > > Email: rvarad...@jhmi.edu > > Webpage: > http://www.jhsph.edu/agingandhealth/People/Faculty_personal_pages/Varadhan.h > tml > > > > ---------------------------------------------------------------------------- > -------- > > > -----Original Message----- > From: Frank E Harrell Jr [mailto:f.harr...@vanderbilt.edu] > Sent: Friday, October 23, 2009 4:04 PM > To: Ravi Varadhan > Cc: jlu...@ria.buffalo.edu; 'Allan.Y'; r-help@r-project.org; > r-help-boun...@r-project.org > Subject: Re: [R] Bayesian regression stepwise function? > > Ravi Varadhan wrote: >> The stepAIC() function in "MASS" can be used, with k = log(n), to > implement >> your suggestion of "quasi-Bayesian" stepwise selection using the BIC >> criterion. >> >> Ravi. > > Although many statisticians use BIC otherwise, it was only designed to > compare two pre-specified models. > > Frank > >> >> > ---------------------------------------------------------------------------- >> ------- >> >> Ravi Varadhan, Ph.D. >> >> Assistant Professor, The Center on Aging and Health >> >> Division of Geriatric Medicine and Gerontology >> >> Johns Hopkins University >> >> Ph: (410) 502-2619 >> >> Fax: (410) 614-9625 >> >> Email: rvarad...@jhmi.edu >> >> Webpage: >> > http://www.jhsph.edu/agingandhealth/People/Faculty_personal_pages/Varadhan.h >> tml >> >> >> >> > ---------------------------------------------------------------------------- >> -------- >> >> >> -----Original Message----- >> From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] > On >> Behalf Of jlu...@ria.buffalo.edu >> Sent: Friday, October 23, 2009 2:31 PM >> To: Allan.Y >> Cc: r-help@r-project.org; r-help-boun...@r-project.org >> Subject: Re: [R] Bayesian regression stepwise function? >> >> The BIC (Raftery) can be used for quasi-Bayesian model selection, but it's > >> not stepwise. Ntzoufras shows how to use WinBUGS to conduct Bayesian >> model selection, but again it's not stepwise >> >> >> Ntzoufras, I. (2002), 'Gibbs variable selection using BUGS', Journal of >> Statistical Software 7(7), 1--19. >> Ntzoufras, I. (2009), Bayesian modeling using WinBUGS, Wiley, Hoboken, NJ. >> Raftery, A. E. (1995), 'Bayesian model selection in social research', >> Sociological Methodology 25, 111-163. >> >> >> >> >> >> >> >> "Allan.Y" <all...@cmu.edu> >> Sent by: r-help-boun...@r-project.org >> 10/22/2009 01:09 PM >> >> To >> r-help@r-project.org >> cc >> >> Subject >> [R] Bayesian regression stepwise function? >> >> >> >> >> >> >> >> Hi everyone, >> >> I am wondering if there exists a stepwise regression function for the >> Bayesian regression model. I tried googling, but I couldn't find >> anything. >> I know "step" function exists for regular stepwise regression, but nothing >> for Bayes. >> >> >> Thanks > > > -- > Frank E Harrell Jr Professor and Chair School of Medicine > Department of Biostatistics Vanderbilt University > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
