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 references. Our results aim at aiding the proper extraction of information in data-driven analysis.

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Year of publication:	2010-10
Authors:	Anteneodo, C. ; Queiros, S. M. Duarte
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Phys. Rev. E 82, 041122 (2010) [8 pages]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008683694