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Matem. Mod., 2017, Volume 29, Number 5, Pages 61–72 (Mi mm3847)  

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

Yu. N. Orlov, S. L. Fedorov

Keldysh Institute for Applied Mathematics of RAS, Moscow

Abstract: The method of non-stationary time-series trajectory generation is proposed in accordance with Fokker–Plank equation for the empirical distribution function density. Parameters of trend and diffusion are estimated on the samples of time-series. The numerical algorithm for pattern recognition functional testing in the non-stationary probability conditions is constructed.

Keywords: non-stationary time-series, trajectories modeling, pattern recognition functional testing.

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Document Type: Article
Received: 11.04.2016

Citation: Yu. N. Orlov, S. L. Fedorov, “Sample distribution function construction for non-stationary time-series forecasting”, Matem. Mod., 29:5 (2017), 61–72

Citation in format AMSBIB
\Bibitem{OrlFed17}
\by Yu.~N.~Orlov, S.~L.~Fedorov
\paper Sample distribution function construction for non-stationary time-series forecasting
\jour Matem. Mod.
\yr 2017
\vol 29
\issue 5
\pages 61--72
\mathnet{http://mi.mathnet.ru/mm3847}
\elib{http://elibrary.ru/item.asp?id=29255019}


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