10,425 research outputs found
Relative entropy via non-sequential recursive pair substitutions
The entropy of an ergodic source is the limit of properly rescaled 1-block
entropies of sources obtained applying successive non-sequential recursive
pairs substitutions (see P. Grassberger 2002 ArXiv:physics/0207023 and D.
Benedetto, E. Caglioti and D. Gabrielli 2006 Jour. Stat. Mech. Theo. Exp. 09
doi:10.1088/1742.-5468/2006/09/P09011). In this paper we prove that the cross
entropy and the Kullback-Leibler divergence can be obtained in a similar way.Comment: 13 pages , 2 figure
Application of Kolmogorov complexity and universal codes to identity testing and nonparametric testing of serial independence for time series
We show that Kolmogorov complexity and such its estimators as universal codes
(or data compression methods) can be applied for hypotheses testing in a
framework of classical mathematical statistics. The methods for identity
testing and nonparametric testing of serial independence for time series are
suggested.Comment: submitte
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