Fisher information and stochastic complexity

  • Authors:
  • J. J. Rissanen

  • Affiliations:
  • IBM Almaden Res. Center, San Jose, CA

  • Venue:
  • IEEE Transactions on Information Theory
  • Year:
  • 2006

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Abstract

By taking into account the Fisher information and removing an inherent redundancy in earlier two-part codes, a sharper code length as the stochastic complexity and the associated universal process are derived for a class of parametric processes. The main condition required is that the maximum-likelihood estimates satisfy the central limit theorem. The same code length is also obtained from the so-called maximum-likelihood code