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Discrete Langevin-type equation for p-order persistent time series and procedure of its reconstruction
1Institute of Geophysics, Polish Academy of Sciences, Księcia Janusza 64, 01-452 Warsaw, Poland.
Abstract:
The stochastic discrete Langevin-type equation, which can describe p-order persistent processes, was introduced. The procedure of reconstruction of the equation from time series was proposed and tested on synthetic data. The approach was applied to hydrological data leading to the stochastic model of the phenomenon. The work is a substantial extension of our paper [Chaos 26, 053109 (2016)], in which the persistence of order 1 was taken into account.
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