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Preprints of the Keldysh Institute of Applied Mathematics, 2008, 047, 30 pp. (Mi ipmp399)  

Kinetic equations for forecasting of non-stationary time-series

Yu. N. Orlov, K. P. Osminin
References:
Abstract: In this work the method of forecasting of non-stationary time-series with the use of kinetic equations for empiric distribution function is proposed. The series volume depends on the accuracy for any given horizon of forecasting. In dependence of statistics properties of so-called horizon series the evolution Liouville equation or Fokker-Planck equation are used. As an example the time-series of stock-exchange is considered.
Document Type: Preprint
Language: Russian
Citation: Yu. N. Orlov, K. P. Osminin, “Kinetic equations for forecasting of non-stationary time-series”, Keldysh Institute preprints, 2008, 047, 30 pp.
Citation in format AMSBIB
\Bibitem{OrlOsm08}
\by Yu.~N.~Orlov, K.~P.~Osminin
\paper Kinetic equations for forecasting of non-stationary time-series
\jour Keldysh Institute preprints
\yr 2008
\papernumber 047
\totalpages 30
\mathnet{http://mi.mathnet.ru/ipmp399}
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  • https://www.mathnet.ru/eng/ipmp399
  • https://www.mathnet.ru/eng/ipmp/y2008/p47
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    Препринты Института прикладной математики им. М. В. Келдыша РАН
     
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