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Fisher information and stochastic complexity. (English) Zbl 0856.94006

Author’s abstract: By taking into account the Fisher information and removing an inherent redundancy in earlier two-part codes, a sharper code length as the stochastic complexity and the associated universal process are derived for a class of parametric processes. The main condition required is that the maximum-likelihood estimates satisfy the Central Limit Theorem. The same code length is also obtained from the so-called maximum-likelihood code.

MSC:

94A17 Measures of information, entropy
62M99 Inference from stochastic processes
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