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I have two finite sequences of numbers derived from one or more unknown processes. What is the most powerful test (in sense that it is least affected by finite length L) to find out whether two sequences were generated by the same process or not?

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Power will necessarily depend on what distributional assumptions you make for the processes. Could you please give us some indication of what assumptions you can make in your application? –  whuber Nov 21 '12 at 20:35
    
I would like not to make any special assumptions. Still if you are interested, I have sequence of zeros and ones which correspond to sequential choices of some subject playing against unknown (for him) rule. –  neuronich Nov 24 '12 at 18:48

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