Analysis of stochastic time series in the presence of strong measurement noise

Details Analysis of stochastic time series in the presence of strong measurement noise Analysis of stochastic time series in the presence of strong measurement noise

2010-10-27

arxiv.org/abs/1010.5641v2

Physics

Data Analysis, Statistics and Probability

12 pages, 10 figures; corrected typos and references

Scientific paper

A new approach for the analysis of Langevin-type stochastic processes in the presence of strong measurement noise is presented. For the case of Gaussian distributed, exponentially correlated, measurement noise it is possible to extract the strength and the correlation time of the noise as well as polynomial approximations of the drift and diffusion functions from the underlying Langevin equation.

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