Catching Up Faster in Bayesian Mo del Selection (T61)
Tim van Erven Peter Grunwald ¨ Steven de Rooij

We solve the AIC-BIC dilemma:

Consistent BIC, Bayes, MDL AIC, LOO cross-validation New Switching method

Fast convergence

 # 

#  

5

Accumulated loss (kB)

0

Explanation: the Catch-up phenomenon

-5 Bayes selects wrong model L(Bayes) - L(simple) L(complex) - L(simple)

-10

L(switch) - L(simple) -15 0 100 200 300 400 Sample size (kB)