LaplacesDemon (version 16.1.1)

WAIC: Widely Applicable Information Criterion

Description

This function calculates the Widely Applicable Information Criterion (WAIC), also known as the Widely Available Information Criterion or the Watanable-Akaike, of Watanabe (2010).

Usage

WAIC(x)

Arguments

x

This required argument accepts a \(N \times S\) matrix of log-likelihood (LL) for \(N\) records and \(S\) samples.

Value

The WAIC argument returns a list with four components:

WAIC

This is the Widely Applicable Information Criterion (WAIC), which is \(-2(lppd - pWAIC)\).

lppd

This is the log pointwise predictive density. For more information, see Gelman et al. (2014, p. 168).

pWAIC

This is the effective number of parameters preferred by Gelman et al. (2014).

pWAIC1

This is the effective number of parameters, is calculated with an alternate method, and is included here for completeness. It is not used to calculate WAIC in the WAIC function.

Details

WAIC is an extension of the Akaike Information Criterion (AIC) that is more fully Bayesian than the Deviance Information Criterion (DIC).

Like DIC, WAIC estimates the effective number of parameters to adjust for overfitting. Two adjustments have been proposed. pWAIC1 is similar to pD in the original DIC. In contrast, pWAIC2 is calculated with variance more similarly to pV, which Gelman proposed for DIC. Gelman et al. (2014, p.174) recommends pWAIC2 because its results are closer in practice to the results of leave-one-out cross-validation (LOO-CV). pWAIC is considered an approximation to the number of unconstrained and uninformed parameters, where a parameter counts as 1 when estimated without contraint or any prior information, 0 if fully constrained or all information comes from the prior distribution, or an intermediate number if both the data and prior are informative, which is usually the case.

Gelman et al. (2014, p. 174) scale the WAIC of Watanabe (2010) by a factor of 2 so that it is comparable to AIC and DIC. WAIC is then reported as \(-2(lppd - pWAIC)\). Gelman et al. (2014) prefer WAIC to AIC or DIC when feasible, which is less often than AIC or DIC. The LaplacesDemon function requires the model specification function to return the model-level deviance, which is \(-2(LL)\), where \(LL\) is the sum of the record-level log-likelihood. Therefore, if the user desires to calculate WAIC, then the record-level log-likelihood must be monitored.

References

Gelman, A., Carlin, J.B., Stern, H.S., Dunson, D.B., Vehtari, A., and Rubin, D.B. (2014). "Bayesian Data Analysis, 3rd ed.". CRC Press: Boca Raton, FL.

Watanabe, S. (2010). "Asymptotic Equivalence of Bayes Cross Validation and Widely Applicable Information Criterion in Singular Learning Theory". Journal of Machine Learning Research, 11, p. 3571--3594.

See Also

LaplacesDemon

Examples

# NOT RUN {
#library(LaplacesDemon)
#N <- 10 #Number of records
#S <- 1000 #Number of samples
#LL <- t(rmvn(S, -70+rnorm(N),
#     as.positive.definite(matrix(rnorm(N*N),N,N))))
#WAIC(LL)
### Compare with DIC:
#Dev <- -2*colSums(LL)
#DIC <- list(DIC=mean(Dev) + var(Dev)/2, Dbar=mean(Dev), pV=var(Dev)/2)
#DIC
# }