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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



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Boris Ryabko
Jaakko Astola
Alex Gammerman

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Boris Ryabko, Jaakko Astola, and Alex Gammerman. Application of Kolmogorov complexity and universal codes to identity testing and nonparametric testing of serial independence for time series.. In Kolmogorov Complexity and Applications. Dagstuhl Seminar Proceedings, Volume 6051, pp. 1-13, Schloss Dagstuhl - Leibniz-Zentrum für Informatik (2006)
https://doi.org/10.4230/DagSemProc.06051.2

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.
Keywords
  • Algorithmic complexity
  • algorithmic information theory
  • Kolmogorov complexity
  • universal coding
  • hypothesis testing

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