SOME NOTES ON RISSANENS STOCHASTIC COMPLEXITY

Authors
QIAN GQ KUNSCH HR
Citation
Gq. Qian et Hr. Kunsch, SOME NOTES ON RISSANENS STOCHASTIC COMPLEXITY, IEEE transactions on information theory, 44(2), 1998, pp. 782-786
Citations number
11
Categorie Soggetti
Computer Science Information Systems","Engineering, Eletrical & Electronic","Computer Science Information Systems
Journal title
IEEE transactions on information theory → ACNP
ISSN journal
00189448
Volume
44
Issue
2
Year of publication
1998
Pages
782 - 786
Database
ISI
SICI code
0018-9448(1998)44:2<782:SNORSC>2.0.ZU;2-I
Abstract
A new version of stochastic complexity for a parametric statistical mo del is derived, based on a class of two-part-codes. We show that choos ing the quantization in the first step according to the Fisher informa tion is optimal and we compare our approach to a recent result of Riss anen, An application to robust regression model selection is presented .