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A Bayesian information criterion for singular models. With discussion and authors’ reply. (English) Zbl 1414.62088

Summary: We consider approximate Bayesian model choice for model selection problems that involve models whose Fisher information matrices may fail to be invertible along other competing submodels. Such singular models do not obey the regularity conditions underlying the derivation of Schwarz’s Bayesian information criterion BIC and the penalty structure in BIC generally does not reflect the frequentist large sample behaviour of the marginal likelihood. Although large sample theory for the marginal likelihood of singular models has been developed recently, the resulting approximations depend on the true parameter value and lead to a paradox of circular reasoning. Guided by examples such as determining the number of components in mixture models, the number of factors in latent factor models or the rank in reduced rank regression, we propose a resolution to this paradox and give a practical extension of BIC for singular model selection problems.

MSC:

62F15 Bayesian inference
62F12 Asymptotic properties of parametric estimators
62-02 Research exposition (monographs, survey articles) pertaining to statistics
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