Estimation of Kramers-Moyal coefficients at low sampling rates

Geometric and projection effects in Kramers-Moyal analysis

Kramers-Moyal coefficients provide a simple and easily visualized method with which to analyze stochastic time series, particularly nonlinear ones. One mechanism that can affect the estimation of the coefficients is geometric projection effects. For some biologically-inspired examples, these effects are predicted and explored with a non-stochastic projection operator method, and compared with direct numerical simulation of the systems' Langevin equations. General features and characteristics are identified, and the utility of the Kramers-Moyal method discussed. Projections of a system are in g…

Extended Kramers-Moyal analysis applied to optical trapping

The Kramers-Moyal analysis is a well established approach to analyze stochastic time series from complex systems. If the sampling interval of a measured time series is too low, systematic errors occur in the analysis results. These errors are labeled as finite time effects in the literature. In the present article, we present some new insights about these effects and discuss the limitations of a previously published method to estimate Kramers-Moyal coefficients at the presence of finite time effects. To increase the reliability of this method and to avoid misinterpretations, we extend it by th…

Finite sampling interval effects in Kramers-Moyal analysis

Large sampling intervals can affect reconstruction of Kramers-Moyal coefficients from data. A new method, which is direct, non-stochastic and exact up to numerical accuracy, can estimate these finite-time effects. For the first time, exact finite-time effects are described analytically for special cases; biologically inspired numerical examples are also worked through numerically. The approach developed here will permit better evaluation of Langevin or Fokker-Planck based models from data with large sampling intervals. It can also be used to predict the sampling intervals for which finite-time…

Kramers-Moyal analysis of interplanetary magnetic field fluctuations at sub-ion scales

In the framework of statistical time series analysis of complex dynamics we present a multiscale characterization of solar wind turbulence in the near-Earth environment. The data analysis, based on the Markov-process theory, is meant to estimate the Kramers-Moyal coefficients associated with the measured magnetic field fluctuations. In fact, when the scale-to-scale dynamics can be successfully described as a Markov process, first- and second-order Kramers-Moyal coefficients provide a complete description of the dynamics in terms of Langevin stochastic process. The analysis is carried out by us…

局部统计矩用于捕捉 Kramers-Moyal 系数

Local statistical moments to capture Kramers-Moyal coefficients

本研究提出一种局部统计矩方法估计 Kramers-Moyal 系数，结合非参数灵活性与参数可解释性，适用于平稳与非平稳时间序列及风力涡轮机等实际复杂系统。