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KIAM Preprint № 47, Moscow, 2008
Authors: Orlov Y. N., Osminin K.P.
Kinetic equations for forecasting of non-stationary time-series
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.
Publication language: russian,  pages: 30
Research direction:
Mathematical problems and theory of numerical methods
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