MDL Model Selection Complexity Distribution Selection
Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Pliska Studia Mathematica Bulgarica, Vol. 22, No 1, (2013), 129p-142p
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.