Approximated Calculation for the Generalized Information Criteria based on Cross Varidations.

Abstract

We propose the approximated calculation for the Generalized Information Criteria(GIC) in which the influence function is approximately calculated based on cross validations. By this method, We can estimate the GIC for the L1 regularized log linear model and Support Vector Machine. The GIC for these models have never been estimated exactly. The experiments shows that proposed approximated GIC is effective to estimate the valid regularized parameter for models..