Improved Treatment of the Independent Variables for the Deployment of Model Selection Criteria in the Analysis of Complex Systems |
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Authors: | Luca Spolladore Michela Gelfusa Riccardo Rossi Andrea Murari |
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Institution: | 1.Department of Industrial Engineering, University of Rome “Tor Vergata”, Via Del Politecnico 1, 00133 Roma, Italy; (M.G.); (R.R.);2.Consorzio RFX (CNR, ENEA, INFN, Università di Padova, Acciaierie Venete SpA), Corso Stati Uniti 4, 35127 Padova, Italy; |
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Abstract: | Model selection criteria are widely used to identify the model that best represents the data among a set of potential candidates. Amidst the different model selection criteria, the Bayesian information criterion (BIC) and the Akaike information criterion (AIC) are the most popular and better understood. In the derivation of these indicators, it was assumed that the model’s dependent variables have already been properly identified and that the entries are not affected by significant uncertainties. These are issues that can become quite serious when investigating complex systems, especially when variables are highly correlated and the measurement uncertainties associated with them are not negligible. More sophisticated versions of this criteria, capable of better detecting spurious relations between variables when non-negligible noise is present, are proposed in this paper. Their derivation is obtained starting from a Bayesian statistics framework and adding an a priori Chi-squared probability distribution function of the model, dependent on a specifically defined information theoretic quantity that takes into account the redundancy between the dependent variables. The performances of the proposed versions of these criteria are assessed through a series of systematic simulations, using synthetic data for various classes of functions and noise levels. The results show that the upgraded formulation of the criteria clearly outperforms the traditional ones in most of the cases reported. |
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Keywords: | model selection criteria Akaike information criterion Bayesian information criterion overfitting redundancy variable selection complexity information theory relevance |
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