Low-sampling-rate Kramers-Moyal coefficients

Celia Anteneodo, Sı́lvio M. Duarte Queirós

Type: Article

Publication Date: 2010-10-25

Citations: 13

DOI: https://doi.org/10.1103/physreve.82.041122

Abstract

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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Physical Review E - View
arXiv (Cornell University) - View - PDF
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