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

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

2005-05-29

arxiv.org/abs/cs/0505079v1

Computer Science

Computational Complexity

submitted

Scientific paper

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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