AIC for Non-concave Penalized Likelihood Method

Abstract: Non-concave penalized maximum likelihood methods, such as the Bridge, the SCAD, and the MCP, are widely used because they not only do parameter estimation and variable selection simultaneously but also have a high efficiency as compared to the Lasso. They include a tuning parameter which controls a penalty level, and several information criteria have been developed for selecting it. While these criteria assure the model selection consistency and so have a high value, it is a severe problem that there are no appropriate rules to choose the one from a class of information criteria satisfying such a preferred asymptotic property. In this paper, we derive an information criterion based on the original definition of the AIC by considering the minimization of the prediction error rather than the model selection consistency. Concretely speaking, we derive a function of the score statistic which is asymptotically equivalent to the non-concave penalized maximum likelihood estimator, and then we provide an asymptotically unbiased estimator of the Kullback-Leibler divergence between the true distribution and the estimated distribution based on the function. Furthermore, through simulation studies, we check that the performance of the proposed information criterion gives almost the same as or better than that of the cross-validation.