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

Zbigniew Czechowski and Luciano Telesca

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 22, 5592-5603

Abstract: 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.

Keywords: Time series modeling; Stochastic models; Langevin equation; Correlation function; Wind speed (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:22:p:5592-5603

DOI: 10.1016/j.physa.2013.07.041

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