Exact Calculation of Normalized Maximum Likelihood Code Length Using Fourier Analysis

arXiv1801.03705MaRDI QIDQ6296307FDOQ6296307

Authors: Atsushi Suzuki, Kenji Yamanishi 

Publication date: 11 January 2018

Abstract: The normalized maximum likelihood code length has been widely used in model selection, and its favorable properties, such as its consistency and the upper bound of its statistical risk, have been demonstrated. This paper proposes a novel methodology for calculating the normalized maximum likelihood code length on the basis of Fourier analysis. Our methodology provides an efficient non-asymptotic calculation formula for exponential family models and an asymptotic calculation formula for general parametric models with a weaker assumption compared to that in previous work.

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