Geodesic
Sample distribution function construction for non-stationary time-series forecasting
Matematičeskoe modelirovanie, Tome 29 (2017) no. 5, pp. 61-72

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The method of non-stationary time-series trajectory generation is proposed in accordance with Fokker–Plank equation for the empirical distribution function density. Parameters of trend and diffusion are estimated on the samples of time-series. The numerical algorithm for pattern recognition functional testing in the non-stationary probability conditions is constructed.
Keywords: non-stationary time-series, trajectories modeling, pattern recognition functional testing. 
@article{MM_2017_29_5_a4,
     author = {Yu. N. Orlov and S. L. Fedorov},
     title = {Sample distribution function construction for non-stationary time-series forecasting},
     journal = {Matemati\v{c}eskoe modelirovanie},
     pages = {61--72},
     publisher = {mathdoc},
     volume = {29},
     number = {5},
     year = {2017},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MM_2017_29_5_a4/}
}
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Yu. N. Orlov; S. L. Fedorov. Sample distribution function construction for non-stationary time-series forecasting. Matematičeskoe modelirovanie, Tome 29 (2017) no. 5, pp. 61-72. http://geodesic.mathdoc.fr/item/MM_2017_29_5_a4/