The last theme of Kolmogorov's mathematics research was algorithmic theory of information, now often called Kolmogorov complexity theory. There are only two main publications of Kolmogorov (1965 and 1968-1969) on this topic. So Kolmogorov's ideas that did not appear as proven (and published) theorems can be reconstructed only partially based on work of his students and collaborators, short abstracts of his talks and the recollections of people who were present at these talks. In this survey we try to reconstruct the development of Kolmogorov's ideas related to algorithmic statistics (resource-bounded complexity, structure function and stochastic objects).