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Modeling evolution sample distributions of random quantities by the equation of Liuville
A. A. Kislitsin, Yu. N. Orlov Keldysh Institite of Applied Mathematics RAS
Abstract:
The difference approximation of the one-dimensional Liouville equation for the sample
distribution density of the non-stationary time series estimated by the histogram is considered. We prove a necessary and sufficient condition that the change in the sample density of the distribution over a certain period of time can be modeled as the evolution of
the density according to the Liouville equation. This condition is a strong positivity of
the initial density distribution in the inner class intervals. The determination of the corresponding velocity algorithm is constructed and its mechanical-statistical meaning is
shown as a semigroup equivalent in Chernoff sense to the average semigroup, generating
the evolution of the distribution function.
Keywords:
Liouville equation, non-stationary time series, sample distribution function, Chernoff equivalence.
Received: 24.06.2019 Revised: 24.06.2019 Accepted: 09.09.2019
Citation:
A. A. Kislitsin, Yu. N. Orlov, “Modeling evolution sample distributions of random quantities by the equation of Liuville”, Mat. Model., 32:1 (2020), 111–128; Math. Models Comput. Simul., 12:5 (2020), 747–756
Linking options:
https://www.mathnet.ru/eng/mm4151 https://www.mathnet.ru/eng/mm/v32/i1/p111
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Abstract page: | 525 | Full-text PDF : | 190 | References: | 58 | First page: | 20 |
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