BIC信息准则的推导.pdfVIP

On the derivation of the Bayesian Information Criterion H. S. Bhat∗† N. Kumar∗ November 8, 2010 Abstract We present a careful derivation of the Bayesian Inference Criterion (BIC) for model selection. The BIC is viewed here as an approximation to the Bayes Factor. One of the main ingredients in the approximation, the use of Laplace’s method for approximating integrals, is explained well in the literature. Our derivation sheds light on this and other steps in the derivation, such as the use of a flat prior and the invocation of the weak law of large numbers, that are not often discussed in detail. 1 Notation Let us define the notation that we will use: y : observed data y , . . . , y 1 n Mi : candidate model P (y|M ) : marginal likelihood of the model M given the data i i θ : vector of parameters in the model M i i g (θ ) : the prior density of the parameters θ i i i f (y|θ ) : the density of the data given the parameters θ i i L(θ |y) : the likelihood of y given the model M i i ˆ θ : the MLE of θ that maximizes L