DocumentCode :
2272504
Title :
Universal codes as a basis for nonparametric testing of serial independence for time series
Author :
Ryabko, Boris ; Astola, Jaakko
Author_Institution :
Inst. of Comput. Technol. of Siberian Branch, Russian Acad. of Sci.
fYear :
2005
fDate :
4-9 Sept. 2005
Firstpage :
1573
Lastpage :
1577
Abstract :
We consider a stationary and ergodic source p generated symbols x 1...xt from some finite set A and a null hypothesis H0 that p is Markovian source with memory (or connectivity) not larger than m, (m ges 0). The alternative hypothesis H1 is that the sequence is generated by a stationary and ergodic source, which differs from the source under H0. In particular, if m = 0 we have the null hypothesis H0 that the sequence is generated by Bernoully source (or the hypothesis that x1...xt are independent). Some new tests which are based on universal codes and universal predictors, are suggested
Keywords :
Markov processes; codes; set theory; time series; Markovian source; ergodic source; finite set; nonparametric testing; null hypothesis; serial independence; stationary source; time series; universal codes; universal predictors; Codes; Data compression; Data mining; Entropy; H infinity control; Information theory; Probability; Statistical analysis; Statistics; Testing;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Information Theory, 2005. ISIT 2005. Proceedings. International Symposium on
Conference_Location :
Adelaide, SA
Print_ISBN :
0-7803-9151-9
Type :
conf
DOI :
10.1109/ISIT.2005.1523609
Filename :
1523609
Link To Document :
https://search.ricest.ac.ir/dl/search/defaultta.aspx?DTC=49&DC=2272504
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