Shadow

All models are wrong; some are useful.

– me & George Box  

[Update: I thought I thought of that line myself. But apparently people have been attributing that to George E.P. Box for quite a few years. To be fare, I allow myself to stand along side the great man ] 

Peter Grunwald’s Tutorial to MDL is included as the Ch1 & 2 of his new book:

P. Grünwald, I.J. Myung, M. Pitt (editors). Advances in Minimum Description Length: Theory and Applications. MIT Press, April 2005.

This is an "MDL source book". It contains chapters on both theory and practical applications, as well as several chapters of a tutorial nature, written by some of the most well-known contributors to the MDL area such as J. Rissanen, A. Barron, and B. Yu.
The book starts with an extensive tutorial on MDL:

• P.D. Grünwald, A tutorial introduction to the minimum description length principle. To appear as Chapters 1 and 2 in the above collection (80 pages; postscript and PDF).
  Errata can be found here.

 

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