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KIAM Preprint № 54, Moscow, 2014
Authors: Orlov Y. N., Fedorov S.L., Davidko V.A.
To the classification of non-stationary time series: RTS index composition
Abstract:
The classification of a set of time-series with respect to non-stationary index is carried out for RTS instruments. The variation of sampling distribution function is analyzed. The closed prices for 50 RTS instruments are examined. For each of them the non-stationary index, depending on sample length, is calculated.
Keywords:
non-stationary time series, RTS index, self-consistent stationary level, non-stationary index
Publication language: russian,  pages: 18
Research direction:
Mathematical modelling in actual problems of science and technics
Russian source text:
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