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Catching Up Faster in Bayesian Model Selection and Model Averaging
Tim van Erven · Peter Grünwald · Steven de Rooij

Tue Dec 04 11:50 AM -- 12:00 PM (PST) @
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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 marginal 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 implementation.

Author Information

Tim van Erven (Centrum voor Wiskunde en Informatica)
Peter Grünwald (CWI and Leiden University)
Steven de Rooij (CWI)

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