Read e-book online Compression-Based Methods of Statistical Analysis and PDF

By Boris Ryabko, Jaakko Astola, Mikhail Malyutov

ISBN-10: 3319322516

ISBN-13: 9783319322513

ISBN-10: 3319322532

ISBN-13: 9783319322537

Universal codes successfully compress sequences generated by way of desk bound and ergodic resources with unknown records, they usually have been initially designed for lossless info compression. meanwhile, it used to be discovered that they are often used for fixing vital difficulties of prediction and statistical research of time sequence, and this ebook describes fresh ends up in this area.

The first bankruptcy introduces and describes the appliance of common codes to prediction and the statistical research of time sequence; the second one bankruptcy describes purposes of chosen statistical the right way to cryptography, together with assaults on block ciphers; and the 3rd bankruptcy describes a homogeneity try used to figure out authorship of literary texts.

The publication can be necessary for researchers and complex scholars in info idea, mathematical statistics, time-series research, and cryptography. it really is assumed that the reader has a few grounding in information and in info theory.

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Additional resources for Compression-Based Methods of Statistical Analysis and Prediction of Time Series

Example text

5) where h. / is the Shannon entropy. It is well known in Information Theory that h. / D log jAj if H0 is true, and h. / < log jAj if H1 is true, see, for example, [3, 5, 13]. 5) we can easily arrive at the following theorem. 0; 1/ be a level of significance and 1; be generated by a stationary ergodic source . n/ the test ˛;' described above is applied for testing H0 (against H1 ), then, with probability 1, the Type I error is not larger than ˛, and the Type II error goes to 0 when n ! 1. So, we can see that each good universal code can be used as a basis for randomness testing.

2t/; for any k D 0; 1; 2; : : :. P/; we can see that . P// D 0: x1 :::xt 2At The second statement of the theorem is proven. The first one can be easily derived from the ergodicity of P [4, 14] . P/ with probability 1 [4, 14]. 29) we obtain the statement i). 30). 2 and properties of log. The statement ii) can be proven as follows: lim E. x1 : : : xi /. ajx1 : : : xi / i a2A iD0 lim x1 :::xi 2A lim . 5)), whereas the equality is obvious. xt 1 ; yt 1 // From this equality and the last inequality we obtain the proof of i).

U/ . C˛ / is the value of the Type I error. The first statement of the theorem is proven. Let us prove the second statement of the theorem. A/ is true. 55) with probability 1 (according to the measure ). x1 : : : xt / 1 1 C . x1 : : : xt / D t. x1 : : : xt /j D t . x1 : : : xt /=t Ä hk . 57) for any k 0 (with probability 1). A/ for some s. xi =x1 : : : xi 1 / iD1 1 D t . xi =xi k : : : xi 1 /; Appendix 37 which is equal to hk . / [4, 14]. So, from the two last equalities we can see that lim . 56), we can see that t.

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Compression-Based Methods of Statistical Analysis and Prediction of Time Series by Boris Ryabko, Jaakko Astola, Mikhail Malyutov


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