Estimation of Kramers-Moyal coefficients at low sampling rates

Abstract

A new optimization procedure for the estimation of Kramers-Moyal coefficients from stationary, one-dimensional, Markovian time series data is presented. The method takes advantage of a recently reported approach that allows to calculate exact finite sampling interval effects by solving the adjoint Fokker-Planck equation. Therefore it is well suited for the analysis of sparsely sampled time series. The optimization can be performed either making a parametric ansatz for drift and diffusion functions or also parameter free. We demonstrate the power of the method in several numerical examples with synthetic time series.Comment: 6 pages, 5 figure