Abstract
The minimum description length (MDL) principle states that one should prefer the model that yields the shortest description of the data when the complexity of the model itself is also accounted for. MDL provides a versatile approach to statistical modeling. It is applicable to model selection and regularization. Modern versions of MDL lead to robust methods that are well suited for choosing an appropriate model complexity based on the data, thus extracting the maximum amount of information from the data without over-fitting. The modern versions of MDL go well beyond the familiar \(\frac{k} {2} \log n\) formula.
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Recommended Reading
Good review articles on MDL include Barron et al. (1998); Hansen and Yu (2001). The textbook by Grünwald (2007) is a comprehensive and detailed reference covering developments until 2007 Grünwald (2007).
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Roos, T. (2017). Minimum Description Length Principle. In: Sammut, C., Webb, G.I. (eds) Encyclopedia of Machine Learning and Data Mining. Springer, Boston, MA. https://doi.org/10.1007/978-1-4899-7687-1_894
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DOI: https://doi.org/10.1007/978-1-4899-7687-1_894
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