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Construction of a Langevin model from time series with a periodical correlation function: Application to wind speed data

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  • Czechowski, Zbigniew
  • Telesca, Luciano

Abstract

A Langevin-type equation for stochastic processes with a periodical correlation function is introduced. A procedure of reconstruction of the equation from time series is proposed and verified on simulated data. The method is applied to geophysical time series–hourly time series of wind speed measured in northern Italy–constructing the macroscopic model of the phenomenon.

Suggested Citation

  • Czechowski, Zbigniew & Telesca, Luciano, 2013. "Construction of a Langevin model from time series with a periodical correlation function: Application to wind speed data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5592-5603.
    • Handle: RePEc:eee:phsmap:v:392:y:2013:i:22:p:5592-5603
    DOI: 10.1016/j.physa.2013.07.041
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    References listed on IDEAS

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    1. Stanton, Richard, 1997. "A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk," Journal of Finance, American Finance Association, vol. 52(5), pages 1973-2002, December.
    2. Telesca, Luciano & Czechowski, Zbigniew, 2012. "Discriminating geoelectrical signals measured in seismic and aseismic areas by using Ito models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(3), pages 809-818.
    3. Czechowski, Zbigniew & Telesca, Luciano, 2011. "The construction of an Ito model for geoelectrical signals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(13), pages 2511-2519.
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    Cited by:

    1. Montagnon, Chris, 2017. "Forecasting with the Fokker–Planck model: Bayesian setting of parameter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 253-262.
    2. Montagnon, Chris, 2015. "A closed solution to the Fokker–Planck equation applied to forecasting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 420(C), pages 14-22.
    3. Montagnon, C.E., 2021. "Forecasting by splitting a time series using Singular Value Decomposition then using both ARMA and a Fokker Planck equation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 567(C).

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