Application of Kolmogorov complexity and universal codes to identity testing and nonparametric testing of serial independence for time series

Authors:
Boris Ryabko;Jaakko Astola;Alex Gammerman
Affiliations:
Institute of Computational Technology of Siberian Branch of Russian Academy of Science, Russian Federation;Tampere University of Technology, Finland;Department of Computer Science, Royal Holloway, University of London, UK
Venue:
Theoretical Computer Science
Year:
2006

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Abstract

We show that Kolmogorov complexity and such its estimators as universal codes (or data compression methods) can be applied for hypotheses testing in a framework of classical mathematical statistics. The methods for identity testing and nonparametric testing of sérial independence for time series are suggested.