AIC and Large Samples - PhilSci-Archive.docVIP

AIC and Large Samples* I. A. Kiesepp?? ? * ? Department of Philosophy P. O. Box 9 (Siltavuorenpenger 20 A) 00014 University of Helsinki FINLAND ? I would like to express my gratitude to Stanley Mulaik and to Malcolm Forster for our discussions on the topics addressed in this paper.  ABSTRACT I discuss the behavior of the Akaike Information Criterion in the limit when the sample size grows. I show the falsity of the claim made recently by Stanley Mulaik in Philosophy of Science that AIC would not distinguish between saturated and other correct factor analytic models in this limit. I explain the meaning and demonstrate the validity of the familiar, more moderate criticism that AIC is not a consistent estimator of the number of parameters of the smallest correct model. I also give a short explanation why this feature of AIC is compatible with the motives of using it.  1. Introduction It is well-known that the Akaike Information Criterion (AIC), a model choice criterion for which the philosophers of science have shown a considerable amount of interest during the last few years, does not produce asymptotically consistent estimates for the number of parameters of the correct model (see e.g. Woodroofe, 1982, 1182). This criticism is concerned with what happens in the limit when the available sample becomes larger, and when one uses AIC for choosing between some fixed set of statistical models on the basis of the sample. When AIC is applied to the models, the number of the parameters of the model that it leads one to choose can be viewed as an estimate of the number of parameters of the smallest correct model. This is particularly obvious in the context of the curve-fitting problems to which philosophers have until now dedicated most of their attention. In these problems one makes a choice between the nested models which are such that each model (k=0,1,2,..) is a model with parameters, and contains all the curves of at most kth degree. In this case the small