On low-sampling-rate Kramers-Moyal coefficients

Details On low-sampling-rate Kramers-Moyal coefficients On low-sampling-rate Kramers-Moyal coefficients

2010-10-05

arxiv.org/abs/1010.0854v2

Phys. Rev. E 82, 041122 (2010) [8 pages]

Physics

Condensed Matter

Statistical Mechanics

9 pages, 4 figures

Scientific paper

10.1103/PhysRevE.82.041122

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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