On low-sampling-rate Kramers-Moyal coefficients

C. Anteneodo and S. M. Duarte Queiros

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Abstract: 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.

Date: 2010-10, Revised 2010-10
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Published in Phys. Rev. E 82, 041122 (2010) [8 pages]

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1010.0854

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