Minimum description length estimators under the optimal coding scheme
Following Rissanen we consider the statistical model {P θ | as a code-book, θ indexing the codes. To obtain a single code, we first encode some θ and then encode our data x with the code corresponding to this θ. Rissanen's minimum description length principle recommends using the value of θ minimizing the total code length as an estimate of θ given the data x. For some standard statistical models we find easily computable estimators which respect this principle when θ is encoded with the asymptotically optimal coding scheme due to Levin and Chaitin.