HCM 9/27/16,
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AIC and BIC are each methods of comparing models fit via maximum likelihood.
In each case, a larger value is better.
AIC (Akaike Information Criterion):
The Akaike Information Criterion (AIC) is used to compare a bunch of models all fit via maximum
likelihood to the same data. The model with the largest AIC is preferred. For a particular model:
AIC = maximum loglikelihood - number of parameters = ln[L] - r.2
r is the number of parameters fit via maximum Iikelihood.
Assume for example, assume we have three Models fit to the same data:
Model #
1
2
3
Number of Parameters
4
5
6
Loglikelihood
-302.7
-301.2
-300.4
AIC
-302.7 - 4 = -306.7
-301.2 - 5 = -306.2
-300.4 - 6 = -306.4
https://www.soa.org/education/exam-req/edu-exam-c-detail.aspx
Then click on the Oct. 2016 syllabus. The syllabus has a link to the new study note.
2
This is the definition in Loss Models.
Most other textbooks define AIC = (-2) (maximum loglikelihood) + (number of parameters)(2).
In that case, instead the smaller AIC would be preferred. Which model is preferred would be the same, regardless of
which definition of AIC one used.
HCM 9/27/16,
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Number of Parameters
4
5
6
Loglikelihood
-533.6
-530.1
-527.3
BIC
-533.6 - (4/2)ln[100] = -542.8
-530.1 - (5/2)ln[100] = -541.6
-527.3 - (6/2)ln[100] = -541.1
The Schwarz Bayesian Criterion is covered in Mahlers Guide to Fitting Loss Distributions.
This is the definition in Loss Models.
Most other textbooks define BIC = (-2) (maximum loglikelihood) + (number of parameters) ln(number of data points).
In that case, instead the smaller BIC would be preferred. Which model is preferred would be the same, regardless of
which definition of BIC one used.
5
For n 8, the penalty for BIC is larger than for AIC.
4
HCM 9/27/16,
Problems:
Supp.1 (3 points) Five Models have been fit to the same set of 200 observations.
Model
Number of Fitted Parameters
LogLikelihood
A
3
-359.17
B
4
-357.84
C
5
-356.42
D
6
-354.63
E
7
-353.85
Which model has the best AIC (Akaike Information Criterion)?
Supp.2 (3 points)
Five different Models, have been fit to the same set of 400 observations.
Model
Number of Fitted Parameters
LogLikelihood
A
1
-730.18
B
2
-726.24
C
3
-723.56
D
4
-721.02
E
5
-717.50
Which model has the best BIC (Bayesian Information Criterion)?
Supp.3 (3 points)
Use the following information on two Models fit to the same 100 data points:
Number of Fitted Parameters
Loglikelihood
1
-321.06
2
-319.83
(a) Based on AIC (Akaike Information Criterion), which model is preferred?
(b) Based on BIC (Bayesian Information Criterion), which model is preferred?
Supp.4 (3 points) Five Models have been fit to the same set of 200 observations.
Model
Number of Fitted Parameters
LogLikelihood
A
1
-213.6
B
2
-212.3
C
3
-211.5
D
4
-210.7
E
5
-209.4
Which model has the best AIC (Akaike Information Criterion)?
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HCM 9/27/16,
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Supp.5 (3 points) Five Models have been fit to the same set of 60 observations.
Model
Number of Fitted Parameters
LogLikelihood
A
2
-220.18
B
3
-217.40
C
4
-214.92
D
5
-213.25
E
6
-211.03
Which model has the best BIC (Bayesian Information Criterion)?
Supp.6 (3 points) You are given:
(i) Sample size = 100
(ii) The negative loglikelihoods associated with five models are:
Model
Number Of Parameters
Negative Loglikelihood
Generalized Pareto
3
219.1
Burr
3
219.2
Pareto
2
221.2
Lognormal
2
221.4
Inverse Exponential
1
224.2
Which of the following is the best model, using the Akaike Information Criterion?
(A) Generalized Pareto (B) Burr (C) Pareto (D) Lognormal
(E) Inverse Exponential
Comment: Data taken from 4, 11/00, Q.10.
HCM 9/27/16,
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Solutions to Problems:
Supp.1. D. AIC = maximum loglikelihood - number of parameters.
For example, AIC = -359.17 - 3 = -362.17.
Model
Number of Parameters
Loglikelihood
AIC
A
B
C
D
E
3
4
5
6
7
-359.17
-357.84
-356.42
-354.63
-353.85
-362.17
-361.84
-361.42
-360.63
-360.85
Number of Parameters
Loglikelihood
BIC
A
B
C
D
E
1
2
3
4
5
-730.18
-726.24
-723.56
-721.02
-717.50
-733.18
-732.23
-732.55
-733.00
-732.48
Number of Parameters
Loglikelihood
AIC
A
B
C
D
E
1
2
3
4
5
-213.6
-212.3
-211.5
-210.7
-209.4
-214.6
-214.3
-214.5
-214.7
-214.4
HCM 9/27/16,
Number of Parameters
Loglikelihood
BIC
A
B
C
D
E
2
3
4
5
6
-220.18
-217.40
-214.92
-213.25
-211.03
-224.27
-223.54
-223.11
-223.49
-223.31
Number of Parameters
Loglikelihood
AIC
A
B
C
D
E
3
3
2
2
1
-219.1
-219.2
-221.2
-221.4
-224.2
-222.1
-222.2
-223.2
-223.4
-225.2
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