Universal codes as a basis for nonparametric testing of serial independence for time series
Boris Ya. Ryabko, Jaakko T. Astola · 2005
We consider a stationary and ergodic source p generated symbols x1...xtfrom some finite set A and a null hypothesis H0that p is Markovian source with memory (or connectivity) not larger than m, (m ges 0). The alternative hypothesis H1is 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 H0that the sequence is generated by Bernoully source (or the hypothesis that x1...xtare independent). Some new tests which are based on universal codes and universal predictors, are suggested