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arXiv · 2101.09728

Enhancing the accuracy of a data-driven reconstruction of bivariate jump-diffusion models with corrections for higher orders of the sampling interval

Esra Aslim·Thorsten Rings·Lina Zabawa·Klaus Lehnertz
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Abstract

We evaluate the significance of a recently proposed bivariate jump-diffusion model for a data-driven characterization of interactions between complex dynamical systems. For various coupled and non-coupled jump-diffusion processes, we find that the inevitably finite sampling interval of time-series data negatively affects the reconstruction accuracy of higher-order conditional moments that are required to reconstruct the underlying jump-diffusion equations. We derive correction terms for conditional moments in higher orders of the sampling interval and demonstrate their suitability to strongly enhance the data-driven reconstruction accuracy.

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Esra Aslim, Thorsten Rings, Lina Zabawa, Klaus Lehnertz. 2021-01-24. Enhancing the accuracy of a data-driven reconstruction of bivariate jump-diffusion models with corrections for higher orders of the sampling interval. https://doi.org/10.1088/1742-5468%2Fabe59a

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