SMML Estimators for 1-Dimensional Continuous Data
James G. Dowty · The Computer Journal · 2013
A method is given for calculating the strict minimum message length (SMML) estimator for 1-dimensional exponential families with continuous sufficient statistics. A set of n equations are found that the n cut-points of the SMML estimator must satisfy. These equations can be solved using Newton's method and this approach is used to produce new results and to replicate results that C.S. Wallace obtained. A rigorous proof is also given that the length of the 2-part code corresponding to the SMML estimator is a continuous function of the data, even though this length is composed of step functions.