Geodesic
Application of data compression methods to hypothesis testing for ergodic and stationary processes
Discrete mathematics & theoretical computer science, DMTCS Proceedings vol. AD, International Conference on Analysis of Algorithms, DMTCS Proceedings vol. AD, International Conference on Analysis of Algorithms (2005).

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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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     author = {Ryabko, Boris and Astola, Jaakko},
     title = {Application of data compression methods to hypothesis testing for ergodic and stationary processes},
     journal = {Discrete mathematics & theoretical computer science},
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     volume = {DMTCS Proceedings vol. AD, International Conference on Analysis of Algorithms},
     year = {2005},
     doi = {10.46298/dmtcs.3380},
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Ryabko, Boris; Astola, Jaakko. Application of data compression methods to hypothesis testing for ergodic and stationary processes. Discrete mathematics & theoretical computer science, DMTCS Proceedings vol. AD, International Conference on Analysis of Algorithms, DMTCS Proceedings vol. AD, International Conference on Analysis of Algorithms (2005). doi : 10.46298/dmtcs.3380. http://geodesic.mathdoc.fr/articles/10.46298/dmtcs.3380/

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