A short review on minimum description length: an application to dimension reduction in PCA

The minimun description length (MDL) is a powerful criterion for model selection that is gaining increasing interest from both theorists and practicioners. It allows for automatic selection of the best model for representing data without having a priori information about them. It simply uses both data and model complexity, selecting the model that provides the least coding length among a predefined set of models. In this paper, we briefly review the basic ideas underlying the MDL criterion and its applications in different fields, with particular reference to the dimension reduction problem. As an example, the role of MDL in the selection of the best principal components in the well known PCA is investigated.