MDL model selection using the ML plug-in code

Abstract

We analyse the behaviour of the ML plug-in code, also known as the Rissanen-Dawid prequential ML code, relative to single parameter exponential families M. If the data are i.i.d. according to an (essentially) arbitrary P, then the redundancy grows at 1/2c log n. We find that, in contrast to other important universal codes such as the 2-part MDL, Shtarkov… (More)

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