Prediction of chaotic dynamical processes based on detection of regular component
Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 55 (2015) no. 2, pp. 345-352 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice de l'article

The problems of detecting components and predicting dynamical processes are considered. Schemes for predicting chaotic time series that are based on detecting their regular, anomalous, and chaotic components followed by applying one of the described prediction methods to the regular component are presented. Regular components are detected using robust linear splines and singular spectrum analysis. Provided examples show that the presented schemes allow predicting dynamical processes with acceptable accuracy.
@article{ZVMMF_2015_55_2_a17,
     author = {V. V. Ivanov and S. G. Klimanov and A. V. Kryanev and G. V. Lukin and D. K. Udumyan},
     title = {Prediction of chaotic dynamical processes based on detection of regular component},
     journal = {\v{Z}urnal vy\v{c}islitelʹnoj matematiki i matemati\v{c}eskoj fiziki},
     pages = {345--352},
     year = {2015},
     volume = {55},
     number = {2},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZVMMF_2015_55_2_a17/}
}
TY  - JOUR
AU  - V. V. Ivanov
AU  - S. G. Klimanov
AU  - A. V. Kryanev
AU  - G. V. Lukin
AU  - D. K. Udumyan
TI  - Prediction of chaotic dynamical processes based on detection of regular component
JO  - Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki
PY  - 2015
SP  - 345
EP  - 352
VL  - 55
IS  - 2
UR  - http://geodesic.mathdoc.fr/item/ZVMMF_2015_55_2_a17/
LA  - ru
ID  - ZVMMF_2015_55_2_a17
ER  - 
%0 Journal Article
%A V. V. Ivanov
%A S. G. Klimanov
%A A. V. Kryanev
%A G. V. Lukin
%A D. K. Udumyan
%T Prediction of chaotic dynamical processes based on detection of regular component
%J Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki
%D 2015
%P 345-352
%V 55
%N 2
%U http://geodesic.mathdoc.fr/item/ZVMMF_2015_55_2_a17/
%G ru
%F ZVMMF_2015_55_2_a17
V. V. Ivanov; S. G. Klimanov; A. V. Kryanev; G. V. Lukin; D. K. Udumyan. Prediction of chaotic dynamical processes based on detection of regular component. Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 55 (2015) no. 2, pp. 345-352. http://geodesic.mathdoc.fr/item/ZVMMF_2015_55_2_a17/

[1] Golyandina N., Nekrutkin V., Zhigljavsky A., Analysis of time series structure. SSA and related techniques, Chapman Hall/CRS, 2001

[2] Kryanev A. V., Lukin G. V., Matematicheskie metody obrabotki neopredelennykh dannykh, Fizmatlit, M., 2006

[3] Kryanev A. V., Lukin G. V., Ulumyan D. K., Metricheskii analiz i obrabotka dannykh, Fizmatlit, M., 2012

[4] Khyuber P. Zh., Robastnost v statistike, Mir, M., 1983

[5] Hampel F. R., Ronchetti E. M., Rousseeuw P. J., Stahel W. A., Robust statistics. The approach based on influence functions, John Wiley Sons, 1985

[6] Arsenin V. Ya., Kryanev A. V., Tsupko-Sitnikov M. V., “Application of robust methods for Ill-posed problems solving”, USSR Computat. Math. and Math. Phys., 29:5 (1989), 653–661

[7] Antoniou I., Akritas P., Burak D. A., Ivanov V. V., Kryanev A. V., Lukin G. V., “Robust methods for stock market data analysis”, Physica A, 336 (2004), 538–548 | DOI

[8] Antoniou I., Akritas P., Burak D. A., Ivanov V. V., Kryanev A. V., Lukin G. V., “Robust singular-spectrum analysis of stock market data”, Physica A, 337 (2004), 334–345

[9] Kryanev A. V., Ivanov V. V., Lukin G. V., Ulumyan D. K., Klimanov S. G., “Matematicheskie metody i algoritmy prognozirovaniya vremennýkh protsessov na osnove vydeleniya determinirovannykh komponent”, Vestnik Natsionalnogo issledovatelskogo yadernogo universiteta “MIFI”, 2:2 (2013), 176–182