Universal codes as a basis for time series testing

DOI10.1016/J.STAMET.2005.10.004zbMath1248.60038arXivcs/0602084OpenAlexW2096823000MaRDI QIDQ713722

Jaakko T. Astola, Boris Ya. Ryabko

Publication date: 19 October 2012

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cs/0602084

zbMATH Keywords

data compressionhypothesis testingShannon entropyuniversal codingnonparametric testingstationary and ergodic source

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Non-Markovian processes: hypothesis testing (62M07) Markov processes: hypothesis testing (62M02) Source coding (94A29)

Related Items (11)

Divergence rates of Markov order estimators and their application to statistical estimation of stationary ergodic processes ⋮ Testing composite hypotheses about discrete ergodic processes ⋮ Unnamed Item ⋮ A confidence-set approach to signal denoising ⋮ Application of data compression methods to nonparametric estimation of characteristics of discrete-time stochastic processes ⋮ Application of information-theoretic tests for the analysis of DNA sequences based on Markov chain models ⋮ Uniform hypothesis testing for finite-valued stationary processes ⋮ Application of Kolmogorov complexity and universal codes to identity testing and nonparametric testing of serial independence for time series ⋮ On universal algorithms for classifying and predicting stationary processes ⋮ A note on discriminating Poisson processes from other point processes with stationary inter arrival times ⋮ Asymptotically most powerful tests for random number generators

Uses Software

• NIST Statistical Test Suite

Cites Work

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