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

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 analys...