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Application of data compression methods to hypothesis testing for ergodic and stationary processes

Abstract : We show that data compression methods (or universal codes) can be applied for hypotheses testing in a framework of classical mathematical statistics. Namely, we describe tests, which are based on data compression methods, for the three following problems: i) identity testing, ii) testing for independence and iii) testing of serial independence for time series. Applying our method of identity testing to pseudorandom number generators, we obtained experimental results which show that the suggested tests are quite efficient.
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https://hal.inria.fr/hal-01184215
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Boris Ryabko, Jaakko Astola. Application of data compression methods to hypothesis testing for ergodic and stationary processes. 2005 International Conference on Analysis of Algorithms, 2005, Barcelona, Spain. pp.399-408. ⟨hal-01184215⟩

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