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Keldysh Institute preprints, 2014, 043, 26 pages (Mi ipmp1895)  

This article is cited in 4 scientific papers (total in 4 papers)

Modeling and statistical analysis of functional, defining on the sampling from non-stationary time series

Yu. N. Orlov, S. L. Fedorov


Abstract: The method of sampling analysis for non-stationary time-series with Fokker–Planck evolution equation for its density is considered. The optimal histogram class intervals are used for solving this equation. The properties of sampling statistics are examined.

Keywords: non-stationary time series, Fokker–Planck equation, sampling statistical analysis.

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Document Type: Preprint

Citation: Yu. N. Orlov, S. L. Fedorov, “Modeling and statistical analysis of functional, defining on the sampling from non-stationary time series”, Keldysh Institute preprints, 2014, 043, 26 pp.

Citation in format AMSBIB
\Bibitem{OrlFed14}
\by Yu.~N.~Orlov, S.~L.~Fedorov
\paper Modeling and statistical analysis of functional, defining on the sampling from non-stationary time series
\jour Keldysh Institute preprints
\yr 2014
\papernumber 043
\totalpages 26
\mathnet{http://mi.mathnet.ru/ipmp1895}


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  • http://mi.mathnet.ru/eng/ipmp/y2014/p43

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    Citing articles on Google Scholar: Russian citations, English citations
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    This publication is cited in the following articles:
    1. Yu. N. Orlov, S. L. Fedorov, V. A. Davidko, “K voprosu klassifikatsii nestatsionarnykh vremennykh ryadov: sostav indeksa RTS”, Preprinty IPM im. M. V. Keldysha, 2014, 054, 18 pp.  mathnet
    2. A. D. Bosov, Yu. N. Orlov, S. L. Fedorov, “O raspredelenii ryadov absolyutnykh prirostov tsen na finansovykh rynkakh”, Preprinty IPM im. M. V. Keldysha, 2014, 096, 15 pp.  mathnet
    3. Yu. N. Orlov, S. L. Fedorov, “Modelirovanie ansamblya nestatsionarnykh sluchainykh traektorii s ispolzovaniem uravneniya Fokkera–Planka”, Matem. modelirovanie, 29:5 (2017), 61–72  mathnet  elib
    4. Yu. N. Orlov, R. V. Pleshakov, “Programmnyi kompleks dlya modelirovaniya nestatsionarnykh neekvidistantnykh vremennykh ryadov”, Preprinty IPM im. M. V. Keldysha, 2017, 036, 15 pp.  mathnet
  • Препринты Института прикладной математики им. М. В. Келдыша РАН
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