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arXiv · 1010.0854

On low-sampling-rate Kramers-Moyal coefficients

C. Anteneodo·S. M. Duarte Queiros
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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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BibTeXRIS

C. Anteneodo, S. M. Duarte Queiros. 2010-10-05. On low-sampling-rate Kramers-Moyal coefficients. https://doi.org/10.1103/physreve.82.041122

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