Geodesic
Sample distribution function construction for non-stationary time-series forecasting
Matematičeskoe modelirovanie, Tome 26 (2014) no. 3, pp. 97-107

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The method of non-stationary time-series trajectory generation is proposed in accordance with Liouville evolution equation for the empirical distribution function density. With this generated series the non-autonomic dynamical chaotic system can be associated. For this system the Liapunov factor is estimated in the case of quasi-stationary initial distribution.
Keywords: non-stationary time series, empirical distribution function, kinetic evolution equation, Lyapunov exponent. 
@article{MM_2014_26_3_a6,
     author = {A. D. Bosov and R. S. Kalmetiev and Yu. N. Orlov},
     title = {Sample distribution function construction for non-stationary time-series forecasting},
     journal = {Matemati\v{c}eskoe modelirovanie},
     pages = {97--107},
     publisher = {mathdoc},
     volume = {26},
     number = {3},
     year = {2014},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MM_2014_26_3_a6/}
}
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A. D. Bosov; R. S. Kalmetiev; Yu. N. Orlov. Sample distribution function construction for non-stationary time-series forecasting. Matematičeskoe modelirovanie, Tome 26 (2014) no. 3, pp. 97-107. http://geodesic.mathdoc.fr/item/MM_2014_26_3_a6/