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URN: urn:nbn:de:0030-drops-6363
URL: http://drops.dagstuhl.de/opus/volltexte/2006/636/

Ryabko, Boris ; Astola, Jaakko ; Gammerman, Alex

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

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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 hypothesis testing in a framework of classical mathematical statistics. The methods for identity testing and nonparametric testing of serial independence for time series are described.

BibTeX - Entry

@InProceedings{ryabko_et_al:DSP:2006:636,
  author =	{Boris Ryabko and Jaakko Astola and Alex Gammerman},
  title =	{Application of Kolmogorov complexity and universal codes to identity testing and nonparametric testing of serial independence for time series.},
  booktitle =	{Kolmogorov Complexity and Applications},
  year =	{2006},
  editor =	{Marcus Hutter  and Wolfgang Merkle and Paul M.B. Vitanyi},
  number =	{06051},
  series =	{Dagstuhl Seminar Proceedings},
  ISSN =	{1862-4405},
  publisher =	{Internationales Begegnungs- und Forschungszentrum f{\"u}r Informatik (IBFI), Schloss Dagstuhl, Germany},
  address =	{Dagstuhl, Germany},
  URL =		{http://drops.dagstuhl.de/opus/volltexte/2006/636},
  annote =	{Keywords: Algorithmic complexity, algorithmic information theory, Kolmogorov complexity, universal coding, hypothesis testing}
}

Keywords: Algorithmic complexity, algorithmic information theory, Kolmogorov complexity, universal coding, hypothesis testing
Seminar: 06051 - Kolmogorov Complexity and Applications
Issue date: 2006
Date of publication: 31.07.2006


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