A Performance Comparison Study with Information Criteria for MaxEnt Distributions

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Rolf Jackson
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1 A Performance Comparison Study with nformation Criteria for MaxEnt Distributions Ozer OZDEMR and Aslı KAYA Abstract n statistical modelin, the beinnin problem that has to be solved is the parameter estimation of the empirical distribution which fits the data appropriately, and then decision can be iven by makin oodness of fit test or usin error measures to determine the accuracy of the predicted model. One of the frequently used measures for such purposes is Mean Square Error (MSE) which formula is defined as the difference between the actual observations and the response predicted by the model and is used to determine with how much error the model fit the data, Root Mean Square Error (RMSE), Mean Absolute Proportion Error (MAPE) etc. measures can be also used for the similar aims. Accordin to this information; firstly, a simulation study is prepared. Then, maximum entropy (MaxEnt) distributions for the error distribution of data is demonstrated and the best fitted distribution is found based on the information criterion Keywords nformation criteria, MaxEnt distributions, Monte Carlo simulation, Performance measures.. NTRODUCTON n statistical modelin, the MSE is defined as the difference between the actual observations and the response predicted by the model and is used to determine whether the model does not fit the data or whether the model can be simplified by removin terms. MSE, RMSE and MAPE are defined as follow: 1 n mean absolute error : MAE = y y t t n t = 1 (1) 1 n mean squared error : MSE = ( y t y t ) n t = 1 () root mean squared error : RMSE = 1 n ( y t y t ) n t = 1 (3) There are some important studies by usin performance measures as MSE, RMSE and MAPE. Allen (01) has proposed the MSE of prediction as a criterion for selectin variables [5]. Willmott and Matsuura (005) have suested that the RMSE is not a ood indicator of averae model Ozer OZDEMR is with the Department of Statistics, Anadolu University Eskisehir 6470 TURKEY (correspondin author to provide phone: ; ozerozdemir@anadolu.edu.tr). Aslı KAYA is with the Department of Statistics, Anadolu University Eskisehir 6470 TURKEY performance and miht be a misleadin indicator of averae error [6, 7]. Chai and Draxler (014) have discussed some circumstances where usin the RMSE will be more beneficial [7]. Goodwin and Lawton (1999) have proposed the use of a symmetric (or modified) MAPE [8]. Myttenaere et al. (016) have studied the consequences of usin the MAPE as a measure of quality for reression models [9]. Such criterions as MSE are important in order to compare the models to find the best one that fit the data. From this point of view, in this study information based statistical error criterion is proposed. Firstly Monte Carlo simulation study is desined and showed that the proposed criterion is satisfied. Then, MaxEnt distributions for the error distribution of un shot anles is demonstrated and the best fitted distribution is found based on the information criterion. Finally it is indicated that it ives similar decision as with MSE. There are some important studies by usin MaxEnt distributions. shwar and Moulin (005) have derived an analytical characterization of the MaxEnt distribution by usin results from the theory of constrained optimization in infinitedimensional normed linear spaces [10]. Philips et al. (006) have studied maximum entropy modelin of species eoraphic distributions [11]. Sankaran and Zabaras (006) have suested a maximum entropy approach for property prediction of random microstructures [1].. MONTE CARLO SMULATON Since the simulation process involves eneratin chance variables and exhibits random behaviours, it has been called Monte Carlo simulation. Monte Carlo simulation is a type of simulation that relies on repeated random samplin and statistical analysis to compute the results. This method of simulation is very closely related to random experiments, experiments for which the specific result is not known in advance. n this context, Monte Carlo simulation can be considered as a methodical way of doin socalled whatif analysis [13]. Monte Carlo simulation, or probability simulation, is a powerful statistical analysis technique used to understand the impact of risk and uncertainty in financial, project manaement, cost, and other forecastin models. t was initially used to solve neutron diffusion problems in atomic bomb work at Alamos Scientific Laboratory in Different from a physical experiment, Monte Carlo simulation performs random samplin and conducts a lare number of experiments on compute. SSN:

2 The outline of Monte Carlo simulation is depicted in Fi.1. Three steps are required in the simulation process: Step 1 samplin on random input variables X, Step evaluatin model output Y, and Step 3 statistical analysis on model output. n yi y H( y) lo i = i = 1 n n (5) yi yi i= 1 i= 1 From central limit theorem it must be noted that P 0, n, where P denotes the converence in probability. So, from Eq. (4), one can easily make interpretation such as that the estimate which has information near 0 best fits the observed data. Fi.1. Monte Carlo simulation n a Monte Carlo simulation, a random value is selected for each of the tasks, based on the rane of estimates. The model is calculated based on this random value. The result of the model is recorded, and the process is repeated. A typical Monte Carlo simulation calculates the model hundreds or thousands of times, each time usin different randomlyselected values. When the simulation is complete, we have a lare number of results from the model, each based on random input values. These results are used to describe the likelihood, or probability, of reachin various results in the model [14]. V. SMULATON STUDY n application part of the study, random samples arbitrarily drawn from standard normal distribution are used to illustrate the practicability of the proposed criterion. For this aim, 100 random samples are enerated respectively of n = 30, 50, 15, 500, , number of sample units. t s well known that the entropy of normal distribution is iven by lo πeσ. The experimental entropy is calculated for each enerated sample as lo π es, where S is maximum likelihood estimator. [Fi.. Fi. 7.] obviously points out P that 0, n is satisfied in experimental way.. NFORMATON BASED STATSTCAL ERROR CRTERON nformation is defined as the variation of entropies between two systems. As much the variation of system s entropy is less so much is the loss or ain of information about the system. n other words, let choose a statistical sample as a system. You can compute the entropy of the actual sample and also the entropy of the empirical sample after modelin the actual sample. By observin the variation of entropy, one can obtain whether the information about the system is lost or ain. f one obtains two empirical models for the actual system, then by usin the variation of entropy the models can be compared accordin in mean of information. From this point of view, information based statistical error criterion is calculated as follows: Fi.. The information measures results for n = 30, 0.3 < < 0.4 ( ) ( ˆ) = H y H y (4) where H denotes Shannon entropy measure considered as: SSN:

3 Fi. 3. The information measures results for n = 50, 0. < < 0.3 Fi. 5. The information measures results for n = 500, 0.05 < < 0.05 Fi. 4. The information measures results for n = 15, 0.10 < < 0.10 Fi. 6. The information measures results for n = , < < SSN:

4 { ( ) ( )} { ( ) ( )} ( ) ( ) K0 = 1 x,, r x = xx,,lo x, lo x,lo 1 + x is considered and triple constraints are performed as combination of the set K 0 such as (1) ( ) = { 1, xx, }, = { 1, x,lo ( x) } ( 3 ) 1, x, ( lo ( x) ) ( 4) =, = { 1, x,lo ( 1 + x )} ( 5) { ( ) ( ) = 1, x,lo x }, 6 1, x, ( lo ( x) ) = ( 7) ( ) = { 1, x,lo ( 1 + x )}, 8 1,lo ( x),( lo( x) ) = ( 9 ) = 1,lo x,lo 1+ x, ( ) { ( ) ( )} = 1, ( lo ( )),lo( 1 + ) { } 10 x x Fi. 7. The information measures results for n = , < < From this point of view the error distribution of unshot anles is used to illustrate the practicability of the proposed criterion in selection of appropriate model. This illustrative data presented in Table 1 is specially selected because it cannot be modeled by the known statistical distributions. Table 1. The error distribution of unshot anles. Gun Shot Anle i 4;3 3; ;1 1;0 Frequency i Gun Shot Anle i 0;1 1; ;3 3;4 Frequency i So, we obtained MaxEnt distribution subject to triple constraints in order to fit the data. The main advantae of modelin data by usin these distributions is no requirements of parameter estimation. Hence, we can only be interested in the problem of oodness of fit. Let remind the followin entropy optimization problem ([3], [4]): n max H p ln p i 1 i i (6) s. t. constraints: n p i j( x i) = µ j, i = 1 j = 0,1,,, m, (7) n p i = 1, i = 1,,, n i= 1 (8) n the recent study, The solution of that mentioned entropy optimization problem subject to specific constraints takes on the followin exponential form m λ jj( xi) j = 0 pi = e, i = 1,,, n (9) where ( i 0,1,, m) λ i = are Larane multipliers. So, several MaxEnt distributions can be obtained in order to fit the observed data. The calculated MaxEnt distributions for the error distribution of unshot anles are illustrated in Fi. 8. Pi State Fi. 8. MaxEnt distributions subject to triple constraints Observed From Fi. 8, it is realized that most of the MaxEnt distributions well fit to the data. Therefore, we require SSN:

5 performance comparison criteria in order to determine the best fitted model. Therefore, estimates of mentioned MaxEnt Distributions are iven in Table. and Table 3. Besides, calculated mean square error and information measures are presented. Table. Estimates of MaxEnt Distributions subject to triple constraints and values of RMSE. ( 1) ( ) ( 3) ( 4) ( 5) H RMSE ( 6) ( 7) ( 8) ( 9) ( 10) H RMSE Table 3. Estimates of MaxEnt Distributions subject to triple constraints and values of MSE. ( 1) ( ) ( 3) ( 4) ( 5) H MSE ( 6) ( 7) ( 8) ( 9) ( 10) H MSE MaxEnt distribution with mean square error is found to be ( 4) which is also the best fitted distribution accordin to proposed information criterion. t is observed the criterion at a hand shows the similar results with RMSE/MSE. V. CONCLUSON By usin the proposed information based statistical error criterion, the followin results are determined: Simulation study is done by eneratin random samples from standard normal distribution. t s observed that in fact information based statistical error criterion converes to zero as sample size oes to infinity. MaxEnt distributions under triple moment vector function constraints are obtained for the error distribution of unshot anles. Best fitted MaxEnt distribution is determined to be 4 the one subject to = 1, x, lo 1 + x. t s ( ) { ( )} examined that information error criterion arees with MSE. Since, the results iven by proposed information based statistical error criterion doesn t contradict with the MSE. Since sometimes MSE ives contradictory decisions and there is no certain measure or test for the selection of an appropriate model because of the nature of the data. (See. [1], []), we recommend usin that information based statistical error criterion in such cases. Hence, we are oin to test the performance of the mentioned information error criterion in time series model selection. REFERENCES [1] A. Aslanarun, M. Mammadov, B. Yazici & S. Yolacan, Comparison of ARMA, neural networks and hybrid models in time series: tourist arrival forecastin, Journal of Statistical Computation and Simulation, vol. 77(1), pp. 9 53, Feb [] M. P. Clements and D. F. Nendry, On the limitations of comparin mean square forecast errors, Journal of Forecastin, vol. 1, pp , December [3] E. T. Jaynes, nformation theory and statistical mechanics, Physical Reviews, vol. 106, pp , May [4] J. N. Kapur and H. K. Kesavan, Entropy Optimization Principles with Applications, Academic Press, nc., USA, May 199. SSN:

6 [5] D. M. Allen, Mean Square Error of Prediction as a Criterion for Selectin Variables, Technometrics, 13:3, , 01. [6] C. Willmott and K. Matsuura, Advantaes of the Mean Absolute Error (MAE) over the Root Mean Square Error (RMSE) in assessin averae model performance, Climate Research, Vol. 30, 798, 005. [7] T. Chai and R. R. Draxler, Root mean square error (RMSE) or mean absolute error (MAE)?Aruments aainst avoidin RMSE in the literature, Geoscientific Model Development, 7, , 014. [8] P. Goodwin and R. Lawton, On the asymmetry of the symmetric MAPE, nternational Journal of Forecastin, 15, , [9] A. Myttenaere, B. Golden, B. Le Grand and F. Rossi, Mean Absolute Percentae Error for Reression Models, Neurocomputin, Vol. 19, 3848, 016. [10] P. shwar and P. Moulin, On the Existence and Characterization of the maxent distribution under eneral moment inequality constraints, EEE transactions on information theory, Vol. 51, ssue: 9, , 005. [11] S. J. Philips, R. P. Anderson and R. E. Schapire, Maximum entropy modelin of species eoraphic distributions, Vol. 190, ssue 34, 31 59, 006. [1] S. Sankaran and N. Zabaras, A maximum entropy approach for property prediction of random microstructures, Acta Materialia, Vol. 54, ssue 8, 6576, 006. [13] G. S. Fishman, Monte Carlo: Concepts, alorithms, and applications. N.Y., USA: SprinerVerla, [14] A. M. Law,, and Kelton W. D., Simulation modelin & analysis, 3rd ed. N.Y., USA: McGrawHill, nc, 000. Ozer Ozdemir was born in Turkey in 198. He received his B.Sc., M.Sc. and Ph.D. derees in statistics in the Department of Statistics at Anadolu University, Turkey, respectively in 005, in 008 and in 013. He has worked as a Research Assistant from , as a Lecturer from and as an Assistant Professor from 014 in the Department of Statistics at Anadolu University, Turkey. He has published over 50 international conference papers and journals in his research areas. His research interests include Applied Statistics, Simulation, Artificial Neural Networks, Fuzzy Loic, Fuzzy Modelin, Time Series, Computer Prorammin, Statistical Software and Computer Applications in Statistics. Aslı Kaya was born in Turkey in She received her B.Sc. deree in Statistics in the Department of Statistics at Anadolu University, Turkey, in 014. She received her B.Sc. deree in the Department of Business in Faculty of Manaement at Anadolu University, Turkey, in 015. She still continues her education as a master student in the Department of Statistics at Anadolu University, Turkey from 015. SSN:

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