Application of Kolmogorov complexity and universal codes to identity testing and nonparametric testing of serial independence for time series
Computational Complexity
2007-05-23 v1
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 serial independence for time series are suggested.
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Cite
@article{arxiv.cs/0505079,
title = {Application of Kolmogorov complexity and universal codes to identity testing and nonparametric testing of serial independence for time series},
author = {Boris Ryabko and Jaakko Astola and Alex Gammerman},
journal= {arXiv preprint arXiv:cs/0505079},
year = {2007}
}
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