On low-sampling-rate Kramers-Moyal coefficients

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 ref...

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Bibliographic Details
Published in:arXiv.org 2010-10
Main Authors: Anteneodo, C, Duarte Queiros, S M
Format: Article
Language:English
Subjects:
Coefficients
Impact analysis
Sampling
Variations
Online Access:Get full text
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Summary: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.
ISSN:2331-8422
DOI:10.48550/arxiv.1010.0854