Posterior Covariance Information Criterion for Weighted Inference

Abstract

Abstract For predictive evaluation based on quasi-posterior distributions, we develop a new information criterion, the posterior covariance information criterion (PCIC). PCIC generalizes the widely applicable information criterion (WAIC) so as to effectively handle predictive scenarios where likelihoods for the estimation and the evaluation of the model may be different. A typical example of such scenarios is the weighted likelihood inference, including prediction under covariate shift and counterfactual prediction. The proposed criterion uses a posterior covariance form and is computed by using only one Markov chain Monte Carlo run. Through numerical examples, we demonstrate how PCIC can apply in practice. Further, we show that PCIC is asymptotically unbiased to the quasi-Bayesian generalization error under mild conditions in weighted inference with both regular and singular statistical models.