Reasons for AIC:
The expectation value of bias is
(26) |
Exercise: AIC of the least squared fit for a regression model. If and ^{}, find the corresponding AIC number.
Ans. .
Example.Figure 5 shows the normalized asymptotic level changes for the sudden impulses seen at mid-latitude ground magnetometer stations. The trend component (solid line) is estimated based on the hyper-parameter automatically determined in accordance with the AIC minimization procedure [Higuchi, 1991].
Figure 5. The normalized aymptotic change in the H component for the sudden impulse events observed by ground stations as a function of local time. The solid line represents the best fit to the data (From Russell and Ginskey, [1995]). |
The AIC method also suggests the direction toward selecting the best model by computer calculation.