Bridging Information Criteria and Parameter Shrinkage for Model Selection
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Model selection based on classical information criteria, such as BIC, is generally computationally demanding, but its properties are well studied. On the other hand, model selection based on parameter shrinkage by ℓ_1-type penalties is computationally efficient. In this paper we make an attempt to combine their strengths, and propose a simple approach that penalizes the likelihood with data-dependent ℓ_1 penalties as in adaptive Lasso and exploits a fixed penalization parameter. Even for finite samples, its model selection results approximately coincide with those based on information criteria; in particular, we show that in some special cases, this approach and the corresponding information criterion produce exactly the same model. One can also consider this approach as a way to directly determine the penalization parameter in adaptive Lasso to achieve information criteria-like model selection. As extensions, we apply this idea to complex models including Gaussian mixture model and mixture of factor analyzers, whose model selection is traditionally difficult to do; by adopting suitable penalties, we provide continuous approximators to the corresponding information criteria, which are easy to optimize and enable efficient model selection.
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