Some notes on Rissanen's stochastic complexity

Authors:
Guoqi Qian;H. R. Kunsch
Affiliations:
Sch. of Stat., La Trobe Univ., Bundoora, Vic.;-
Venue:
IEEE Transactions on Information Theory
Year:
2006

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Abstract

A new version of stochastic complexity for a parametric statistical model is derived, based on a class of two-part codes. We show that choosing the quantization in the first step according to the Fisher information is optimal and we compare our approach to a recent result of Rissanen (1983). An application to robust regression model selection is presented