Related papers: Universal Codes as a Basis for Nonparametric Testi…
We suggest a new approach to hypothesis testing for ergodic and stationary processes. In contrast to standard methods, the suggested approach gives a possibility to make tests, based on any lossless data compression method even if the…
We address the problem of detecting deviations of binary sequence from randomness,which is very important for random number (RNG) and pseudorandom number generators (PRNG). Namely, we consider a null hypothesis $H_0$ that a given bit…
We consider nonparametric or universal sequential hypothesis testing problem when the distribution under the null hypothesis is fully known but the alternate hypothesis corresponds to some other unknown distribution. These algorithms are…
Given a discrete-valued sample $X_1,...,X_n$ we wish to decide whether it was generated by a distribution belonging to a family $H_0$, or it was generated by a distribution belonging to a family $H_1$. In this work we assume that all…
We show how universal codes can be used for solving some of the most important statistical problems for time series. By definition, a universal code (or a universal lossless data compressor) can compress any sequence generated by a…
This paper proposes some novel one-sided omnibus tests for independence between two multivariate stationary time series. These new tests apply the Hilbert-Schmidt independence criterion (HSIC) to test the independence between the…
In this paper the quantum source coding theorem is obtained for a completely ergodic source. This results extends Shannon's classical theorem as well as Schumacher's quantum noiseless coding theorem for memoryless sources. The control of…
We formulate nonparametric and semiparametric hypothesis testing of multivariate stationary linear time series in a unified fashion and propose new test statistics based on estimators of the spectral density matrix. The limiting…
Let $\{X_n\}$ be a stationary and ergodic time series taking values from a finite or countably infinite set ${\cal X}$. Assume that the distribution of the process is otherwise unknown. We propose a sequence of stopping times $\lambda_n$…
We propose a nonparametric test for serial independence that aggregates pairwise similarities of observations with lag-dependent weights. The resulting statistic is powerful to general forms of temporal dependence, including nonlinear and…
In this paper we propose a revisitation of the topic of unique decodability and of some fundamental theorems of lossless coding. It is widely believed that, for any discrete source X, every "uniquely decodable" block code satisfies E[l(X_1…
We develop a Hilbert--Schmidt independence criterion (HSIC)-based framework for testing serial independence in strictly stationary time series. The proposed auto Hilbert--Schmidt independence criterion (AutoHSIC) measures dependence between…
We address the problem of nonparametric estimation of characteristics for stationary and ergodic time series. We consider finite-alphabet time series and real-valued ones and the following four problems: i) estimation of the (limiting)…
Temporal data are increasingly prevalent in modern data science. A fundamental question is whether two time series are related or not. Existing approaches often have limitations, such as relying on parametric assumptions, detecting only…
We propose a novel method for testing serial independence of object-valued time series in metric spaces, which is more general than Euclidean or Hilbert spaces. The proposed method is fully nonparametric, free of tuning parameters, and can…
Given a finite-valued sample $X_1,...,X_n$ we wish to test whether it was generated by a stationary ergodic process belonging to a family $H_0$, or it was generated by a stationary ergodic process outside $H_0$. We require the Type I error…
We propose a new nonparametric test for the supposition of independence between two continuous random variables. The test is based on the size of the longest increasing subsequence of a random permutation. We identified the independence…
Given a heterogeneous time-series sample, the objective is to find points in time (called change points) where the probability distribution generating the data has changed. The data are assumed to have been generated by arbitrary unknown…
In this work a method for statistical analysis of time series is proposed, which is used to obtain solutions to some classical problems of mathematical statistics under the only assumption that the process generating the data is stationary…
We generalize the method of surrogate data of testing for nonlinearity in time series to the case that the data are sampled with uneven time intervals. The null hypothesis will be that the data have been generated by a linear stochastic…