Applications of Universal Source Coding to Statistical Analysis of Time Series
From MaRDI portal
Abstract: 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 stationary and ergodic source asymptotically to the Shannon entropy, which, in turn, is the best achievable ratio for lossless data compressors. We consider finite-alphabet and real-valued time series and the following problems: estimation of the limiting probabilities for finite-alphabet time series and estimation of the density for real-valued time series, the on-line prediction, regression, classification (or problems with side information) for both types of the time series and the following problems of hypothesis testing: goodness-of-fit testing, or identity testing, and testing of serial independence. It is important to note that all problems are considered in the framework of classical mathematical statistics and, on the other hand, everyday methods of data compression (or archivers) can be used as a tool for the estimation and testing. It turns out, that quite often the suggested methods and tests are more powerful than known ones when they are applied in practice.
Recommendations
- Universal codes as a basis for time series testing
- Applications of Kolmogorov complexity and universal codes to nonparametric estimation of characteristics of time series
- Universal codes as a basis for nonparametric testing of serial independence for time series
- Universal coding of nonstationary sources
- Application of Kolmogorov complexity and universal codes to identity testing and nonparametric testing of serial independence for time series
- Compression-based methods of statistical analysis and prediction of time series
- Universal Lossless Coding for Sources With Repeating Statistics
- Source coding theorems for stationary, continuous-time stochastic processes
- Analytical coding of Gaussian sources
- scientific article; zbMATH DE number 1069589
Cited in
(11)- A confidence-set approach to signal denoising
- Application of Kolmogorov complexity and universal codes to identity testing and nonparametric testing of serial independence for time series
- Universal codes as a basis for nonparametric testing of serial independence for time series
- Compression-based methods of statistical analysis and prediction of time series
- Applications of Kolmogorov complexity and universal codes to nonparametric estimation of characteristics of time series
- Time series prediction based on data compression methods
- Universal coding and order identification by model selection
- Application of data compression methods to hypothesis testing for ergodic and stationary processes
- Nonparametric multiple change point estimation in highly dependent time series
- Universal codes as a basis for time series testing
- Application of data compression methods to nonparametric estimation of characteristics of discrete-time stochastic processes
This page was built for publication: Applications of Universal Source Coding to Statistical Analysis of Time Series
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3062116)
