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KIAM Preprint  3, Moscow, 2013
Authors: Bosov A.D., Orlov Y. N.
The non-stationary time series forecasting with the use of Fokker-Plank equation and evolution equations for momentum of empirical distribution function
Abstract:
The forecasting model for non-stationary time series are constructed with the use of Fokker-Plank equation. The model contains evolution equations for momentum of the empirical distribution function. The examples of distribution function and time series modeling are given.
Keywords:
Fokker-Plank equation, non-stationary time series, dynamical forecasting model
Publication language: russian,  pages: 30
Research direction:
Mathematical modelling in actual problems of science and technics
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About authors:
  • Bosov A.D., 
  • Orlov Yurii Nikolaevich,  orcid.org/0000-0002-1356-5137KIAM RAS