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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.

preprint2010arXivOpen access
C. AnteneodoS. M. Duarte Queiros
cond-mat.stat-mechq-fin.ST
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Open access2 authors2 topics
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C. AnteneodoS. M. Duarte Queiros

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