Application of Kolmogorov complexity and universal codes to identity testing and nonparametric testing of serial independence for time series

Boris Ryabko; Jaakko Astola; Alex Gammerman

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Application of Kolmogorov complexity and universal codes to identity testing and nonparametric testing of serial independence for time series

Boris Ryabko·Jaakko Astola·Alex Gammerman

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Abstract

We show that Kolmogorov complexity and such its estimators as universal codes (or data compression methods) can be applied for hypotheses testing in a framework of classical mathematical statistics. The methods for identity testing and nonparametric testing of serial independence for time series are suggested.

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Boris Ryabko, Jaakko Astola, Alex Gammerman. 2005-05-29. Application of Kolmogorov complexity and universal codes to identity testing and nonparametric testing of serial independence for time series. https://arxiv.org/abs/cs/0505079

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