A. V. Lebedev, Yu. N. Orlov, D. O. Shagov, “Optimal set length indicator for non-stationary time-series”, Keldysh Institute preprints, 2013, 017, 16 pp.

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Preprints of the Keldysh Institute of Applied Mathematics, 2013, 017, 16 pp. (Mi ipmp17)

Optimal set length indicator for non-stationary time-series

A. V. Lebedev, Yu. N. Orlov, D. O. Shagov

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Abstract: The properties of distributions of the distances between two empirical distribution function densities for non-stationary time-series are investigated. The optimal choice of histogram interval is suggested on the basis of self-agreement accuracy of empirical probability. The generalization of optimal set length indicator with the use of statistical good quality factor is given.

Keywords: statistical good quality indicator, optimal histogram class interval, time series, non-stationary distributions.

Document Type: Preprint

Language: Russian

Citation: A. V. Lebedev, Yu. N. Orlov, D. O. Shagov, “Optimal set length indicator for non-stationary time-series”, Keldysh Institute preprints, 2013, 017, 16 pp.

Citation in format AMSBIB

\Bibitem{LebOrlSha13}

\by A.~V.~Lebedev, Yu.~N.~Orlov, D.~O.~Shagov

\paper Optimal set length indicator for non-stationary time-series

\jour Keldysh Institute preprints

\yr 2013

\papernumber 017

\totalpages 16

\mathnet{http://mi.mathnet.ru/ipmp17}

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https://www.mathnet.ru/eng/ipmp/y2013/p17

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

Препринты Института прикладной математики им. М. В. Келдыша РАН

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