arXiv:2603.04172 · v3

The Pivotal Information Criterion

首次提交 2026-03-04 23:26

版本更新 2026-11-04 00:03

雷达观测 2026-11-04 23:39

摘要

The Bayesian and Akaike information criteria aim at finding a good balance between under- and over-fitting. They are extensively used every day by practitioners. Yet we contend they suffer from at least two afflictions: their penalty parameters $λ=\log n$ and $λ=2$ are too small, leading to many false discoveries, and their inherent (best subset) discrete optimization is infeasible in high dimension. We alleviate these issues with the pivotal information criterion: PIC is defined as a continuous optimization problem, and the PIC penalty parameter $λ$ is selected at the detection boundary (under pure noise). PIC's choice of $λ$ is an upper quantile of a statistic that we prove to be (asymptotically) pivotal, provided the loss function is appropriately transformed. As a result, simulations show a phase transition in the probability of exact support recovery with PIC, a phenomenon studied with no noise in compressed sensing. Applied to real data, for similar predictive performances, PIC selects the least complex model among state-of-the-art learners.