Geodesic
Sample distribution function construction for non-stationary time-series forecasting
Matematičeskoe modelirovanie, Tome 20 (2008) no. 9, pp. 23-33

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The method of statistical analysis and forecasting of non-stationary time-series is proposed on the basis of quasi-stationary criterion of sample distribution function and evolution equation with weighted average velocity. This method is applied to predict the time-series values outside of quasi-stationary limits. The concrete prognosis model is constructed for the case of cyclic time-series. The accuracy of forecast is analyzed for various discrete models of Liouville equation. 
@article{MM_2008_20_9_a1,
     author = {Yu. N. Orlov and K. P. Osminin},
     title = {Sample distribution function construction for non-stationary time-series forecasting},
     journal = {Matemati\v{c}eskoe modelirovanie},
     pages = {23--33},
     publisher = {mathdoc},
     volume = {20},
     number = {9},
     year = {2008},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MM_2008_20_9_a1/}
}
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Yu. N. Orlov; K. P. Osminin. Sample distribution function construction for non-stationary time-series forecasting. Matematičeskoe modelirovanie, Tome 20 (2008) no. 9, pp. 23-33. http://geodesic.mathdoc.fr/item/MM_2008_20_9_a1/