A practical, universal, information criterion over Nth order Markov processes

Arbeitspapier

The recent increase in the breath of computational methodologies has been matched with a corresponding increase in the difficulty of comparing the relative explanatory power of models from different methodological lineages. In order to help address this problem a universal information criterion (UIC) is developed that is analogous to the Akaike information criterion (AIC) in its theoretical derivation and yet can be applied to any model able to generate simulated or predicted data, regardless of its methodology. Both the AIC and proposed UIC rely on the Kullback-Leibler (KL) distance between model predictions and real data as a measure of prediction accuracy. Instead of using the maximum likelihood approach like the AIC, the proposed UIC relies instead on the literal interpretation of the KL distance as the inefficiency of compressing real data using modelled probabilities, and therefore uses the output of a universal compression algorithm to obtain an estimate of the KL distance. Several Monte Carlo tests are carried out in order to (a) confirm the performance of the algorithm and (b) evaluate the ability of the UIC to identify the true data-generating process from a set of alternative models.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: School of Economics Discussion Papers ; No. 1504

Classification and Topics

• Classification: Wirtschaft ; Economic Methodology ; Statistical Simulation Methods: General ; Model Evaluation, Validation, and Selection ; Computational Techniques; Simulation Modeling
• Subject: AIC ; Minimum description length ; Model selection

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Barde, Sylvain
• Event: Veröffentlichung
• (who): University of Kent, School of Economics
• (where): Canterbury
• (when): 2015

Further information

• Handle: http://hdl.handle.net/10419/129988
• Last update: 10.03.2025, 11:46 AM CET