Statistical Inference, Occam's Razor and Statistical Mechanics on The Space of Probability Distributions

Abstract

The task of parametric model selection is cast in terms of a statistical mechanics on the space of probability distributions. Using the techniques of low-temperature expansions, we arrive at a systematic series for the Bayesian posterior probability of a model family that significantly extends known results in the literature. In particular, we arrive at a precise understanding of how Occam's Razor, the principle that simpler models should be preferred until the data justifies more complex models, is automatically embodied by probability theory. These results require a measure on the space of model parameters and we derive and discuss an interpretation of Jeffreys' prior distribution as a uniform prior over the distributions indexed by a family. Finally, we derive a theoretical index of the complexity of a parametric family relative to some true distribution that we call the {\it razor} of the model. The form of the razor immediately suggests several interesting questions in the theory of learning that can be studied using the techniques of statistical mechanics.