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On low-sampling-rate Kramers-Moyal coefficients

Listed author(s):
  • C. Anteneodo
  • S. M. Duarte Queiros
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    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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    Paper provided by in its series Papers with number 1010.0854.

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    Date of creation: Oct 2010
    Date of revision: Oct 2010
    Publication status: Published in Phys. Rev. E 82, 041122 (2010) [8 pages]
    Handle: RePEc:arx:papers:1010.0854
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