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KIAM Preprint  17, Moscow, 2013
Authors: Lebedev A.V., Orlov Y. N., Shagov D.O.
Optimal set length indicator for non-stationary time-series
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
Publication language: russian,  pages: 16
Research direction:
Mathematical modelling in actual problems of science and technics
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About authors:
  • Lebedev A.V., 
  • Orlov Yurii Nikolaevich,  orcid.org/0000-0001-9114-0436KIAM RAS
  • Shagov D.O.,