[mod.ai] Seminar - Stochastic Complexity

CALENDAR@IBM-SJ.ARPA (03/07/86)

                  IBM Almaden Research Center
                         650 Harry Road
                    San Jose, CA 95120-6099

                            CALENDAR
                       March 10 - 14, 1986


  Computer        STOCHASTIC COMPLEXITY AND THE MDL AND PMDL PRINCIPLES
  Science         J. J. Rissanen, IBM Almaden Research Center
  Colloquium

  Thurs., Mar. 13 There is no rational basis in traditional
  3:00 P.M.       statistics for the comparison of two models
  Rear Audit.     unless they have the same number of parameters.
                  Hence, for example, the important
                  selection-of-variables problem has a dozen or so
                  solutions, none of which can be
                  preferred over the others.  Recently, inspired
                  by the algorithmic notion of complexity, we
                  introduced a new concept in statistics, the
                  Stochastic Complexity of the observed data,
                  relative to a class of proposed probabilistic
                  models.  In broad terms, it is defined as the
                  least number of binary digits with which the
                  data can be encoded by use of the selected
                  models.  The stochastic complexity also
                  represents the smallest prediction errors which
                  result when the data are predicted by use of the
                  models.  Accordingly, the associated optimal
                  model represents all the statistical information
                  in the data that can be extracted with the
                  proposed models, and for this reason its
                  computation, which we call the MDL (Minimum
                  Description Length) principle, may be taken to
                  be the fundamental problem in statistics.  In
                  this talk, we describe a special form of the MDL
                  principle, which amounts to the minimization of
                  squared "honest" prediction errors, and we apply
                  it to two examples of polynomial curve fitting
                  as well as to contingency tables.  In the first
                  example, which calls for the prediction of
                  weight growth of mice, the degree of the MDL
                  polynomial agrees with the optimal degree,
                  determined in retrospect after the predicted
                  weights were seen.  The associated predictions
                  also far surpass those made with the best
                  traditional statistical techniques.  A
                  fundamental theorem is given, which permits
                  comparison of models in the spirit of the
                  Cramer-Rao inequality, except that the models
                  need not have the same number of parameters.  It
                  also settles the issue of how the
                  selection-of-variables problem is to be solved.
                  Host:  R. Arps
                  (Refreshments at 2:45 P.M.)
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