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Matem. Mod., 2014, Volume 26, Number 3, Pages 97–107 (Mi mm3461)  

This article is cited in 9 scientific papers (total in 9 papers)

Sample distribution function construction for non-stationary time-series forecasting

A. D. Bosova, R. S. Kalmetievb, Yu. N. Orlovba

a Keldysh Institute for Applied Mathematics of RAS, Moscow
b Moscow Institute of Physics and Technology, Dolgoprudny

Abstract: The method of non-stationary time-series trajectory generation is proposed in accordance with Liouville evolution equation for the empirical distribution function density. With this generated series the non-autonomic dynamical chaotic system can be associated. For this system the Liapunov factor is estimated in the case of quasi-stationary initial distribution.

Keywords: non-stationary time series, empirical distribution function, kinetic evolution equation, Lyapunov exponent.

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Document Type: Article
Received: 04.12.2012

Citation: A. D. Bosov, R. S. Kalmetiev, Yu. N. Orlov, “Sample distribution function construction for non-stationary time-series forecasting”, Matem. Mod., 26:3 (2014), 97–107

Citation in format AMSBIB
\Bibitem{BosKalOrl14}
\by A.~D.~Bosov, R.~S.~Kalmetiev, Yu.~N.~Orlov
\paper Sample distribution function construction for non-stationary time-series forecasting
\jour Matem. Mod.
\yr 2014
\vol 26
\issue 3
\pages 97--107
\mathnet{http://mi.mathnet.ru/mm3461}
\elib{http://elibrary.ru/item.asp?id=21826442}


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    Citing articles on Google Scholar: Russian citations, English citations
    Related articles on Google Scholar: Russian articles, English articles

    This publication is cited in the following articles:
    1. Yu. N. Orlov, S. L. Fedorov, “Modelirovanie i statisticheskii analiz funktsionalov, zadannykh na vyborkakh iz nestatsionarnogo vremennogo ryada”, Preprinty IPM im. M. V. Keldysha, 2014, 043, 26 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. L. A. Borisov, Yu. N. Orlov, V. Zh. Sakbaev, “Formuly Feinmana dlya usredneniya polugrupp, porozhdaemykh operatorami tipa Shredingera”, Preprinty IPM im. M. V. Keldysha, 2015, 057, 23 pp.  mathnet
    4. Yu. N. Orlov, S. L. Fedorov, “Modelirovanie raspredelenii funktsionalov na ansamble traektorii nestatsionarnogo sluchainogo protsessa”, Preprinty IPM im. M. V. Keldysha, 2016, 101, 14 pp.  mathnet  crossref
    5. 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
    6. Yu. V. Gaidamaka, Yu. N. Orlov, D. A. Molchanov, A. K. Samuilov, “Modelirovanie otnosheniya signal/interferentsiya v mobilnoi seti so sluchainym bluzhdaniem vzaimodeistvuyuschikh ustroistv”, Inform. i ee primen., 11:2 (2017), 50–58  mathnet  crossref  elib
    7. Yu. V. Gaidamaka, K. E. Samuilov, S. Ya. Shorgin, “Metod modelirovaniya kharakteristik interferentsii pri pryamom vzaimodeistvii peremeschayuschikhsya ustroistv v geterogennoi besprovodnoi seti pyatogo pokoleniya”, Inform. i ee primen., 11:4 (2017), 2–9  mathnet  crossref  elib
    8. Yu. Orlov, S. Fedorov, A. Samuylov, Yu. Gaidamaka, D. Molchanov, “Simulation of devices mobility to estimate wireless channel quality metrics in 5G networks”, Proceedings of the International Conference on Numerical Analysis and Applied Mathematics 2016 (ICNAAM-2016), AIP Conf. Proc., 1863, eds. T. Simos, C. Tsitouras, Amer. Inst. Phys., 2017, UNSP 090005-1  crossref  isi  scopus
    9. S. Fedorov, Yu. Orlov, A. Samuylov, D. Moltchanov, Yu. Gaidamaka, K. Samouylov, S. Shorgin, “Sir distribution in D2D environment with non-stationary mobility of users”, Proceedings of the 31st European Conference on Modelling and Simulation (ECMS 2017), eds. Z. Paprika, P. Horak, K. Varadi, P. Zwierczyk, A. Vidovics-Dancs, J. Radics, European Council Modelling & Simulation, 2017, 720–725  isi
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