Universal codes as a basis for time series testing

DOI10.1016/J.STAMET.2005.10.004zbMATH Open1248.60038arXivcs/0602084OpenAlexW2096823000MaRDI QIDQ713722FDOQ713722

Authors: B. Ya. Ryabko, Jaakko Astola 

Publication date: 19 October 2012

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

Abstract: 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 distribution law of the codeword lengths is not known. We apply this approach to the following four problems: goodness-of-fit testing (or identity testing), testing for independence, testing of serial independence and homogeneity testing and suggest nonparametric statistical tests for these problems. It is important to note that practically used so-called archivers can be used for suggested testing.

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

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zbMATH Keywords

hypothesis testingShannon entropynonparametric testingdata compressionstationary and ergodic sourceuniversal coding

Mathematics Subject Classification ID

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

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Cited In (15)

• Application of information-theoretic tests for the analysis of DNA sequences based on Markov chain models
• Application of Kolmogorov complexity and universal codes to identity testing and nonparametric testing of serial independence for time series
• Title not available (Why is that?)
• Compression-based methods of statistical analysis and prediction of time series
• Application of data compression methods to hypothesis testing for ergodic and stationary processes
• Testing composite hypotheses about discrete ergodic processes
• A note on discriminating Poisson processes from other point processes with stationary inter arrival times.
• On universal algorithms for classifying and predicting stationary processes
• Uniform hypothesis testing for finite-valued stationary processes
• Universal codes as a basis for nonparametric testing of serial independence for time series
• Asymptotically most powerful tests for random number generators
• Divergence rates of Markov order estimators and their application to statistical estimation of stationary ergodic processes
• A confidence-set approach to signal denoising
• Applications of Universal Source Coding to Statistical Analysis of Time Series
• Application of data compression methods to nonparametric estimation of characteristics of discrete-time stochastic processes

Uses Software

• NIST Statistical Test Suite

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