On Match Lengths, Zero Entropy and Large Deviations - with Application to Sliding Window Lempel-Ziv Algorithm

The Sliding Window Lempel-Ziv (SWLZ) algorithm that makes use of recurrence times and match lengths has been studied from various perspectives in information theory literature. In this paper, we undertake a finer study of these quantities under two different scenarios, i) \emph{zero entropy} sources that are characterized by strong long-term memory, and ii) the processes with weak memory as described through various mixing conditions. For zero entropy sources, a general statement on match length is obtained. It is used in the proof of almost sure optimality of Fixed Shift Variant of Lempel-Ziv (FSLZ) and SWLZ algorithms given in literature. Through an example of stationary and ergodic processes generated by an irrational rotation we establish that for a window of size $n_w$, a compression ratio given by $O(\frac{\log n_w}{{n_w}^a})$ where $a$ depends on $n_w$ and approaches 1 as $n_w \rightarrow \infty$, is obtained under the application of FSLZ and SWLZ algorithms. Also, we give a general expression for the compression ratio for a class of stationary and ergodic processes with zero entropy. Next, we extend the study of Ornstein and Weiss on the asymptotic behavior of the \emph{normalized} version of recurrence times and establish the \emph{large deviation property} (LDP) for a class of mixing processes. Also, an estimator of entropy based on recurrence times is proposed for which large deviation principle is proved for sources satisfying similar mixing conditions.Comment: accepted to appear in IEEE Transactions on Information Theor

Guessing based on length functions

A guessing wiretapper's performance on a Shannon cipher system is analyzed for a source with memory. Close relationships between guessing functions and length functions are first established. Subsequently, asymptotically optimal encryption and attack strategies are identified and their performances analyzed for sources with memory. The performance metrics are exponents of guessing moments and probability of large deviations. The metrics are then characterized for unifilar sources. Universal asymptotically optimal encryption and attack strategies are also identified for unifilar sources. Guessing in the increasing order of Lempel-Ziv coding lengths is proposed for finite-state sources, and shown to be asymptotically optimal. Finally, competitive optimality properties of guessing in the increasing order of description lengths and Lempel-Ziv coding lengths are demonstrated.Comment: 16 pages, Submitted to IEEE Transactions on Information Theory, Special issue on Information Theoretic Security, Simplified proof of Proposition

An Information-Theoretic Test for Dependence with an Application to the Temporal Structure of Stock Returns

Information theory provides ideas for conceptualising information and measuring relationships between objects. It has found wide application in the sciences, but economics and finance have made surprisingly little use of it. We show that time series data can usefully be studied as information -- by noting the relationship between statistical redundancy and dependence, we are able to use the results of information theory to construct a test for joint dependence of random variables. The test is in the same spirit of those developed by Ryabko and Astola (2005, 2006b,a), but differs from these in that we add extra randomness to the original stochatic process. It uses data compression to estimate the entropy rate of a stochastic process, which allows it to measure dependence among sets of random variables, as opposed to the existing econometric literature that uses entropy and finds itself restricted to pairwise tests of dependence. We show how serial dependence may be detected in S&P500 and PSI20 stock returns over different sample periods and frequencies. We apply the test to synthetic data to judge its ability to recover known temporal dependence structures.Comment: 22 pages, 7 figure

Pattern matching in Lempel-Ziv compressed strings: fast, simple, and deterministic

Countless variants of the Lempel-Ziv compression are widely used in many real-life applications. This paper is concerned with a natural modification of the classical pattern matching problem inspired by the popularity of such compression methods: given an uncompressed pattern s[1..m] and a Lempel-Ziv representation of a string t[1..N], does s occur in t? Farach and Thorup gave a randomized O(nlog^2(N/n)+m) time solution for this problem, where n is the size of the compressed representation of t. We improve their result by developing a faster and fully deterministic O(nlog(N/n)+m) time algorithm with the same space complexity. Note that for highly compressible texts, log(N/n) might be of order n, so for such inputs the improvement is very significant. A (tiny) fragment of our method can be used to give an asymptotically optimal solution for the substring hashing problem considered by Farach and Muthukrishnan.Comment: submitte