Consistent Bayesian Information Criterion Based on a Mixture Prior for Possibly High-Dimensional Multivariate Linear Regression Models

Abstract

In the problem of selecting variables in a multivariate linear regression model, we derive new Bayesian information criteria based on a prior mixing a smooth distribution and a delta distribution. Each of them can be interpreted as a fusion of the Akaike information criterion (AIC) and the Bayesian information criterion (BIC). Inheriting their asymptotic properties, our information criteria are consistent in variable selection in both the large-sample and the high-dimensional asymptotic frameworks. In numerical simulations, variable selection methods based on our information criteria choose the true set of variables with high probability in most cases.