Stochastic complexity in statistical inquiry / Jorma Rissanen.

Format:

Book

Author/Creator:

Rissanen, Jorma.

Series:

Series in computer science ; v. 15.

World Scientific series in computer science ; v. 15

Language:

English

Subjects (All):

Machine theory.

Computational complexity.

Stochastic processes.

Physical Description:

1 online resource (191 p.)

Place of Publication:

Singapore ; Teaneck, N.J. : World Scientific, c1989.

Language Note:

English

Summary:

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. The search for the smallest stochastic complexity extends the classical maximum likel

Contents:

Preface; Contents; Stochastic Complexityin Statistical Inquiry; 1 INTRODUCTION; 2 MODELS, CODES, AND COMPLEXITY; 2.1 Models of Data; 2.2 Coding; 2.2.1 Kraft inequality; 2.2.2 Optimal codes; 2.2.3 Arithmetic codes; 2.2.4 Coding of integers; 2.3 Shannon Complexity; 2.4 Combinatorial Complexity; 2.5 Algorithmic Complexity; 2.6 Complexity in a Coding System; 3 STOCHASTIC COMPLEXITY; 3.1 Two-Part Codes; 3.2 Stochastic Complexity; 3.3 Predictive Coding; 3.4 Main Inequality; 3.5 Non-Parametric Model Classes; 3.6 The MDL Principle; 3.7 Alternative Approaches; 4 MODEL VALIDATION

4.1 Confidence in Parameter Estimates4.2 Hypothesis Testing; 5 LINEAR REGRESSION; 5.1 The Least Squares Principle; 5.2 Single-Variate Selection-of-Variables Problem; 5.3 Multi-Variate Selection-of-Variables Problem; 5.4 Properties of PLS Estimates; 6 TIME SERIES; 6.1 Prediction of ARM A Processes; 6.2 ARM A Estimation; 7 APPLICATIONS; 7.1 Classification; 7.2 Ttee Classifiers; 7.3 Algorithm Context; References; Index

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9781283739191

1283739194

9789812385499

9812385495

OCLC:

475900581