DIC in variable selection
Article first published online: 11 MAR 2005
Volume 59, Issue 1, pages 45–56, February 2005
How to Cite
van der Linde, A. (2005), DIC in variable selection. Statistica Neerlandica, 59: 45–56. doi: 10.1111/j.1467-9574.2005.00278.x
- Issue published online: 11 MAR 2005
- Article first published online: 11 MAR 2005
- Received: June 2004. Revised: December 2004.
- posterior predictive entropy;
- mutual information;
- model comparison;
- hypothesis testing
Model comparison is discussed from an information theoretic point of view. In particular the posterior predictive entropy is related to the target yielding DIC and modifications thereof. The adequacy of criteria for posterior predictive model comparison is also investigated depending on the comparison to be made. In particular variable selection as a special problem of model choice is formalized in different ways according to whether the comparison is a comparison across models or within an encompassing model and whether a joint or conditional sampling scheme is applied. DIC has been devised for comparisons across models. Its use in variable selection and that of other criteria is illustrated for a simulated data set.