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Entropic criterion for model selection

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  • Tseng, Chih-Yuan

Abstract

Model or variable selection is usually achieved through ranking models according to the increasing order of preference. One of methods is applying Kullback–Leibler distance or relative entropy as a selection criterion. Yet that will raise two questions, why use this criterion and are there any other criteria. Besides, conventional approaches require a reference prior, which is usually difficult to get. Following the logic of inductive inference proposed by Caticha [Relative entropy and inductive inference, in: G. Erickson, Y. Zhai (Eds.), Bayesian Inference and Maximum Entropy Methods in Science and Engineering, AIP Conference Proceedings, vol. 707, 2004 (available from arXiv.org/abs/physics/0311093)], we show relative entropy to be a unique criterion, which requires no prior information and can be applied to different fields. We examine this criterion by considering a physical problem, simple fluids, and results are promising.

Suggested Citation

  • Tseng, Chih-Yuan, 2006. "Entropic criterion for model selection," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 530-538.
    • Handle: RePEc:eee:phsmap:v:370:y:2006:i:2:p:530-538
    DOI: 10.1016/j.physa.2006.03.024
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    References listed on IDEAS

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    1. Weigend, A. S. & Bonnlander, B. V., 1994. "Selecting Input Variables Using Mutual Information and Nonparemetric Density Estimation," SFB 373 Discussion Papers 1994,49, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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    Cited by:

    1. Wen Zhang & Jian-ping Chen & Qing Wang & Yuke An & Xin Qian & Liangjun Xiang & Longxiang He, 2013. "Susceptibility analysis of large-scale debris flows based on combination weighting and extension methods," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 66(2), pages 1073-1100, March.

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