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On low-sampling-rate Kramers-Moyal coefficients

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  • C. Anteneodo
  • S. M. Duarte Queiros

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.

Suggested Citation

  • C. Anteneodo & S. M. Duarte Queiros, 2010. "On low-sampling-rate Kramers-Moyal coefficients," Papers 1010.0854, arXiv.org, revised Oct 2010.
  • Handle: RePEc:arx:papers:1010.0854
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    File URL: http://arxiv.org/pdf/1010.0854
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