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Some notes on Rissanen's stochastic complexity

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2 Author(s)
Guoqi Qian ; Sch. of Stat., La Trobe Univ., Bundoora, Vic., Australia ; Kunsch, H.R.

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

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Information Theory, IEEE Transactions on  (Volume:44 ,  Issue: 2 )