Universal codes as a basis for nonparametric testing of serial independence for time series

DOI10.1016/j.jspi.2005.07.008zbMath1097.62087arXivcs/0506094OpenAlexW2553354099WikidataQ61711483 ScholiaQ61711483MaRDI QIDQ2507879

Boris Ya. Ryabko, Jaakko T. Astola

Publication date: 5 October 2006

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cs/0506094

zbMATH Keywords

predictionindependenceMarkov processinformation theoryrandom processuniversal codingserial independence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Non-Markovian processes: hypothesis testing (62M07) Source coding (94A29)

Related Items

Universal codes as a basis for time series testing ⋮ Application of Kolmogorov complexity and universal codes to identity testing and nonparametric testing of serial independence for time series

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