Some notes on Rissanen's stochastic complexity
Guoqi Qian, Hans Rudolf Künsch · IEEE Transactions on Information Theory · 1998
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.