Model Selection Criteria: AIC & BIC

Note

The following supplemental notes were created by Dr. Maria Tackett for STA 210. They are provided for students who want to dive deeper into the mathematics behind regression and reflect some of the material covered in STA 211: Mathematics of Regression. Additional supplemental notes will be added throughout the semester.

This document discusses some of the mathematical details of Akaike’s Information Criterion (AIC) and Schwarz’s Bayesian Information Criterion (BIC). We assume the reader knowledge of the matrix form for multiple linear regression.Please see Matrix Notation for Multiple Linear Regression for a review.

Maximum Likelihood Estimation of \(\boldsymbol{\beta}\) and \(\sigma\)

To understand the formulas for AIC and BIC, we will first briefly explain the likelihood function and maximum likelihood estimates for regression.

Let \(\mathbf{Y}\) be \(n \times 1\) matrix of responses, \(\mathbf{X}\), the \(n \times (p+1)\) matrix of predictors, and \(\boldsymbol{\beta}\), \((p+1) \times 1\) matrix of coefficients. If the multiple linear regression model is correct then,

\[ \mathbf{Y} \sim N(\mathbf{X}\boldsymbol{\beta}, \sigma^2) \tag{1}\]

When we do linear regression, our goal is to estimate the unknown parameters \(\boldsymbol{\beta}\) and \(\sigma^2\) from Equation 1. In Matrix Notation for Multiple Linear Regression, we showed a way to estimate these parameters using matrix alegbra. Another approach for estimating \(\boldsymbol{\beta}\) and \(\sigma^2\) is using maximum likelihood estimation.

A likelihood function is used to summarise the evidence from the data in support of each possible value of a model parameter. Using Equation 1, we will write the likelihood function for linear regression as

\[ L(\mathbf{X}, \mathbf{Y}|\boldsymbol{\beta}, \sigma^2) = \prod\limits_{i=1}^n (2\pi \sigma^2)^{-\frac{1}{2}} \exp\bigg\{-\frac{1}{2\sigma^2}\sum\limits_{i=1}^n(Y_i - \mathbf{X}_i \boldsymbol{\beta})^T(Y_i - \mathbf{X}_i \boldsymbol{\beta})\bigg\} \tag{2}\]

where \(Y_i\) is the \(i^{th}\) response and \(\mathbf{X}_i\) is the vector of predictors for the \(i^{th}\) observation. One approach estimating \(\boldsymbol{\beta}\) and \(\sigma^2\) is to find the values of those parameters that maximize the likelihood in Equation 2, i.e. maximum likelhood estimation. To make the calculations more manageable, instead of maximizing the likelihood function, we will instead maximize its logarithm, i.e. the log-likelihood function. The values of the parameters that maximize the log-likelihood function are those that maximize the likelihood function. The log-likelihood function we will maximize is

\[ \begin{aligned} \log L(\mathbf{X}, \mathbf{Y}|\boldsymbol{\beta}, \sigma^2) &= \sum\limits_{i=1}^n -\frac{1}{2}\log(2\pi\sigma^2) -\frac{1}{2\sigma^2}\sum\limits_{i=1}^n(Y_i - \mathbf{X}_i \boldsymbol{\beta})^T(Y_i - \mathbf{X}_i \boldsymbol{\beta}) \\ &= -\frac{n}{2}\log(2\pi\sigma^2) - \frac{1}{2\sigma^2}(\mathbf{Y} - \mathbf{X} \boldsymbol{\beta})^T(\mathbf{Y} - \mathbf{X} \boldsymbol{\beta})\\ \end{aligned} \tag{3}\]

The maximum likelihood estimate of \(\boldsymbol{\beta}\) and \(\sigma^2\) are

\[ \hat{\boldsymbol{\beta}} = (\mathbf{X}^T\mathbf{X})^{-1}\mathbf{X}^T\mathbf{Y} \hspace{10mm} \hat{\sigma}^2 = \frac{1}{n}(\mathbf{Y} - \mathbf{X} \boldsymbol{\beta})^T(\mathbf{Y} - \mathbf{X} \boldsymbol{\beta}) = \frac{1}{n}RSS \tag{4}\]

where \(RSS\) is the residual sum of squares. Note that the maximum likelihood estimate is not exactly equal to the estimate of \(\sigma^2\) we typically use \(\frac{RSS}{n-p-1}\). This is because the maximum likelihood estimate of \(\sigma^2\) in Equation 4 is a biased estimator of \(\sigma^2\). When \(n\) is much larger than the number of predictors \(p\), then the differences in these two estimates are trivial.

AIC

Akaike’s Information Criterion (AIC) is

\[ AIC = -2 \log L + 2(p+1) \tag{5}\]

where \(\log L\) is the log-likelihood. This is the general form of AIC that can be applied to a variety of models, but for now, let’s focus on AIC for mutliple linear regression.

\[ \begin{aligned} AIC &= -2 \log L + 2(p+1) \\ &= -2\bigg[-\frac{n}{2}\log(2\pi\sigma^2) - \frac{1}{2\sigma^2}(\mathbf{Y} - \mathbf{X} \boldsymbol{\beta})^T(\mathbf{Y} - \mathbf{X} \boldsymbol{\beta})\bigg] + 2(p+1) \\ &= n\log\big(2\pi\frac{RSS}{n}\big) + \frac{1}{RSS/n}RSS \\ &= n\log(2\pi) + n\log(RSS) - n\log(n) + 2(p+1) \end{aligned} \tag{6}\]

BIC

[To be added.]