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
