Stochastic complexity in statistical inquiry
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About This Book
This book describes how model selection and statistical inference can be founded on the
shortest code length for the observed data, called the stochastic complexity. This
generalization of the algorithmic complexity not only offers an objective view of statistics,
where no prejudiced assumptions of'true'data generating distributions are needed, but it
also in one stroke leads to calculable expressions in a range of situations of practical
interest and links very closely with mainstream statistical theory.
shortest code length for the observed data, called the stochastic complexity. This
generalization of the algorithmic complexity not only offers an objective view of statistics,
where no prejudiced assumptions of'true'data generating distributions are needed, but it
also in one stroke leads to calculable expressions in a range of situations of practical
interest and links very closely with mainstream statistical theory.
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