Computer Science – Information Theory
Scientific paper
2005-12-20
Computer Science
Information Theory
168 pages, PhD-thesis
Scientific paper
We develop a code length principle which is invariant to the choice of parameterization on the model distributions. An invariant approximation formula for easy computation of the marginal distribution is provided for gaussian likelihood models. We provide invariant estimators of the model parameters and formulate conditions under which these estimators are essentially posteriori unbiased for gaussian models. An upper bound on the coarseness of discretization on the model parameters is deduced. We introduce a discrimination measure between probability distributions and use it to construct probability distributions on model classes. The total code length is shown to equal the NML code length of Rissanen to within an additive constant when choosing Jeffreys prior distribution on the model parameters together with a particular choice of prior distribution on the model classes. Our model selection principle is applied to a gaussian estimation problem for data in a wavelet representation and its performance is tested and compared to alternative wavelet-based estimation methods in numerical experiments
No associations
LandOfFree
An invariant bayesian model selection principle for gaussian data in a sparse representation does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with An invariant bayesian model selection principle for gaussian data in a sparse representation, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and An invariant bayesian model selection principle for gaussian data in a sparse representation will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-661955