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Compression-Based Methods of Statistical Analysis and Prediction of Time Series

Compression-Based Methods of Statistical Analysis and Prediction of Time Series by Boris Ryabko
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Universal codes efficiently compress sequences generated by stationary and ergodic sources with unknown statistics, and they were originally designed for lossless data compression. In the meantime, it was realized that they can be used for solving important problems of prediction and statistical analysis of time series, and this book describes recent results in this area.

The first chapter introduces and describes the application of universal codes to prediction and the statistical analysis of time series; the second chapter describes applications of selected statistical methods to cryptography, including attacks on block ciphers; and the third chapter describes a homogeneity test used to determine authorship of literary texts.

The book will be useful for researchers and advanced students in information theory, mathematical statistics, time-series analysis, and cryptography. It is assumed that the reader has some grounding in statistics and in information theory.

Springer International Publishing; May 2016
153 pages; ISBN 9783319322537
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Title: Compression-Based Methods of Statistical Analysis and Prediction of Time Series
Author: Boris Ryabko; Jaakko Astola; Mikhail Malyutov
 
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ISBNs
9783319322513
9783319322537