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Estimation of Kramers-Moyal coefficients at low sampling rates
Christoph Honisch1, Rudolf Friedrich
1Institute for Theoretical Physics, University of Muenster, D-48149 Muenster, Germany. c.honisch@uni-muenster.de
Abstract:
An optimization procedure for the estimation of Kramers-Moyal coefficients from stationary, one-dimensional, Markovian time series data is presented. The method takes advantage of a recently reported approach that allows one to calculate exact finite sampling interval effects by solving the adjoint Fokker-Planck equation. Therefore, it is well suited for the analysis of sparsely sampled time series. The optimization can be performed either by making a parametric ansatz for drift and diffusion functions or parameter free. We demonstrate the power of the method in several numerical examples with synthetic time series.
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