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Title: Minimum Description Length Principle in Discriminating Marginal Distributions
Authors: Nonchev, Bono
Keywords: MDL
Model Selection
Distribution Selection
Issue Date: 2013
Publisher: Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Citation: Pliska Studia Mathematica Bulgarica, Vol. 22, No 1, (2013), 129p-142p
Abstract: In this paper the MDL principle is explored in discriminating between a model with normal marginal distributions vs a model with Student-T marginal distributions. The shape complexity of a distribution is defined with insights from the closed-form solution for model complexity for normal distribution. An optimised numerical approach for the Student-T distribution is devised with the aim of extending it to the fat-tailed distributions commonly found in econometric time series.
Description: 2010 Mathematics Subject Classification: 94A17, 62B10, 62F03.
ISSN: 0204-9805
Appears in Collections:2013 Volume 22

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