Learning dynamic Bayesian network models via cross-validation

We study cross-validation as a scoring criterion for learning dynamic Bayesian network models that generalize well. We argue that cross-validation is more suitable than the Bayesian scoring criterion for one of the most common interpretations of generalization. We confirm this by carrying out an experimental comparison of cross-validation and the Bayesian scoring criterion, as implemented by the Bayesian Dirichlet metric and the Bayesian information criterion. The results show that cross-validation leads to models that generalize better for a wide range of sample sizes.