A. D. Bosov, Yu. N. Orlov, “The non-stationary time series modeling with the use of empirical Liouville equation and evolution equations for momentum”, Keldysh Institute preprints, 2011,052, 28 pp.

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The non-stationary time series modeling with the use of empirical Liouville equation and evolution equations for momentum

A. D. Bosov^a, Yu. N. Orlov^b

^a Moscow Institute of Physics and Technology (State University)
^b M. V. Keldysh Institute for Applied Mathematics, Russian Academy of Sciences

Abstract: The hydrodynamic models for non-stationary time series are condtructed with the use of horizon statistics. The system contains the Liouville equation for empirical distribution function and the evolution equations for the momentum. The example of time series modeling is given.