We consider the problem of lossless compression of individual sequences using
finite-state (FS) machines, from the perspective of the best achievable
empirical cumulant generating function (CGF) of the code length, i.e., the
normalized logarithm of the empirical average of the exponentiated code length.
Since the probabilistic CGF is minimized in terms of the R\'enyi entropy of the
source, one of the motivations of this study is to derive an
individual-sequence analogue of the R\'enyi entropy, in the same way that the
FS compressibility is the individual-sequence counterpart of the Shannon
entropy. We consider the CGF of the code-length both from the perspective of
fixed-to-variable (F-V) length coding and the perspective of
variable-to-variable (V-V) length coding, where the latter turns out to yield a
better result, that coincides with the FS compressibility. We also extend our
results to compression with side information, available at both the encoder and
decoder. In this case, the V-V version no longer coincides with the FS
compressibility, but results in a different complexity measure.Comment: 15 pages; submitted for publicatio