Index: The Book of Statistical ProofsModel Selection ▷ Classical information criteria ▷ Bayesian information criterion ▷ Derivation

Theorem: Let $p(y \vert \theta, m)$ be the likelihood function of a generative model $m \in \mathcal{M}$ with model parameters $\theta \in \Theta$ describing measured data $y \in \mathbb{R}^n$. Let $p(\theta \vert m)$ be a prior distribution on the model parameters. Assume that likelihood function and prior density are twice differentiable.

Then, as the number of data points goes to infinity, an approximation to the log-marginal likelihood $\log p(y \vert m)$, up to constant terms not depending on the model, is given by the Bayesian information criterion (BIC) as

$\label{eq:BIC} -2 \log p(y|m) \approx \mathrm{BIC}(m) = -2 \log p(y|\hat{\theta}, m) + p \log n$

where $\hat{\theta}$ is the maximum likelihood estimator (MLE) of $\theta$, $n$ is the number of data points and $p$ is the number of model parameters.

Proof: Let $\mathrm{LL}(\theta)$ be the log-likelihood function

$\label{eq:LL} \mathrm{LL}(\theta) = \log p(y|\theta,m)$

and define the functions $g$ and $h$ as follows:

$\label{eq:gh} \begin{split} g(\theta) &= p(\theta|m) \\ h(\theta) &= \frac{1}{n} \, \mathrm{LL}(\theta) \; . \end{split}$

Then, the marginal likelihood can be written as follows:

$\label{eq:ML} \begin{split} p(y|m) &= \int_{\Theta} p(y|\theta,m) \, p(\theta|m) \, \mathrm{d}\theta \\ &= \int_{\Theta} \exp\left[n \, h(\theta)\right] \, g(\theta) \, \mathrm{d}\theta \; . \end{split}$

This is an integral suitable for Laplace approximation which states that

$\label{eq:LA} \int_{\Theta} \exp\left[n \, h(\theta)\right] \, g(\theta) \, \mathrm{d}\theta = \left( \sqrt{\frac{2 \pi}{n}} \right)^p \exp\left[n \, h(\theta_0)\right] \left( g(\theta_0) \left| J(\theta_0) \right|^{-1/2} + O(1/n) \right)$

where $\theta_0$ is the value that maximizes $h(\theta)$ and $J(\theta_0)$ is the Hessian matrix evaluated at $\theta_0$. In our case, we have $h(\theta) = 1/n \, \mathrm{LL}(\theta)$ such that $\theta_0$ is the maximum likelihood estimator $\hat{\theta}$:

$\label{eq:MLE} \hat{\theta} = \operatorname*{arg\,max}_\theta \mathrm{LL}(\theta) \; .$

With this, \eqref{eq:LA} can be applied to \eqref{eq:ML} using \eqref{eq:gh} to give:

$\label{eq:ML-approx} p(y|m) \approx \left( \sqrt{\frac{2 \pi}{n}} \right)^p p(y|\hat{\theta},m) \, p(\hat{\theta}|m) \, \left| J(\hat{\theta}) \right|^{-1/2} \; .$

Logarithmizing and multiplying with $-2$, we have:

$\label{eq:LME-approx} -2 \log p(y|m) \approx -2 \, \mathrm{LL}(\hat{\theta}) + p \log n - p \log(2 \pi) - 2 \log p(\hat{\theta}|m) + \log \left| J(\hat{\theta}) \right| \; .$

As $n \to \infty$, the last three terms are $O_p(1)$ and can therefore be ignored when comparing between models $\mathcal{M} = \left\lbrace m_1, \ldots, m_M \right\rbrace$ and using $p(y \vert m_j)$ to compute posterior model probabilies $p(m_j \vert y)$. With that, the BIC is given as

$\label{eq:BIC-qed} \mathrm{BIC}(m) = -2 \log p(y|\hat{\theta}, m) + p \log n \; .$
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Metadata: ID: P32 | shortcut: bic-der | author: JoramSoch | date: 2020-01-26, 23:36.