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Modern vehicles contain an in-vehicle network consisting of a number of electronic control units (ECUs). These ECUs are responsible for most of the functionality in the vehicle, including vehicle control and maneuverability. To date, no security features exist in this network since it has been isolated. However, an upcoming trend among automobile manufacturers is to establish a wireless connection to the vehicle to provide remote diagnostics and software updates. As a consequence, the in-vehicle network is exposed to external communication, and a potential entry point for attackers is introduced. Messages sent on the in-vehicle network lack integrity protection and data authentication; thus, the network is vulnerable to injection and modification attacks. Due to the real-time constraints and the limited resources in the ECUs, achieving data authentication is a challenge. In this paper, we propose an efficient delayed data authentication using compound message authentication codes. A message authentication code is calculated on a compound of successive messages and sent together with the subsequent messages, resulting in a delayed authentication. This data authentication could be used to detect and possibly recover from injection and modification attacks in the in-vehicle network.