Construction of a Langevin model from time series with a periodical correlation function: Application to wind speed data

A Langevin-type equation for stochastic processes with a periodical correlation function is introduced. A procedure of reconstruction of the equation from time series is proposed and verified on simulated data. The method is applied to geophysical time series–hourly time series of wind speed measured in northern Italy–constructing the macroscopic model of the phenomenon.

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Year of publication:	2013
Authors:	Czechowski, Zbigniew ; Telesca, Luciano
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 392.2013, 22, p. 5592-5603
Publisher:	Elsevier
Subject:	Time series modeling \| Stochastic models \| Langevin equation \| Correlation function \| Wind speed

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010871553