On low-sampling-rate Kramers-Moyal coefficients
AbstractWe 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1010.0854.
Date of creation: Oct 2010
Date of revision: Oct 2010
Publication status: Published in Phys. Rev. E 82, 041122 (2010) [8 pages]
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-16 (All new papers)
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