Low-sampling-rate Kramers-Moyal coefficients.
نویسندگان
چکیده
We analyze the impact of the sampling interval on the estimation of Kramers-Moyal coefficients. We obtain the finite-time expressions of these coefficients for several standard processes. We also analyze extreme situations such as the independence and no-fluctuation limits that constitute useful references. Our results aim at aiding the proper extraction of information in data-driven analysis.
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ورودعنوان ژورنال:
- Physical review. E, Statistical, nonlinear, and soft matter physics
دوره 82 4 Pt 1 شماره
صفحات -
تاریخ انتشار 2010