Yu. N. Orlov, D. O. Shagov, “Indicative statistics for non-stationary time series”, Keldysh Institute preprints, 2011,053, 20 pp.

This article is cited in 7 papers

Indicative statistics for non-stationary time series

Yu. N. Orlov^a, D. O. Shagov^b

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

Abstract: The statistics for chaos measure are constructed in the case of non-stationary time series. For this purpose the self-consistent levels of stationary is introduced for distribution function of distances between empirical distribution functions. The optimal set of data is obtained with the use of statistical good quality factor.