Langevin equations and causal analysis

DOI10.1090/trans2/161/02zbMath0808.60053OpenAlexW165135508MaRDI QIDQ4009346

Yasunori Okabe

Publication date: 27 September 1992

Published in: Selected Papers on Analysis, Probability, and Statistics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/d627d467eeae598f493620823e405fbd437dd21a

zbMATH Keywords

surveystationary solutionfluctuation-dissipation theoremstationary processeslinear responsedevelopments in the theory of Langevin equationstest of causal dependence of weakly stationary processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (4)

The theory of KM₂O-Langevin equations and its applications to data analysis (III): Deterministic analysis ⋮ A time series analysis of economical phenomena in Japan's lost decade (1): determinacy property of the velocity of money and equilibrium solution ⋮ Nonlinear time series analysis based upon the Fluctuation-Dissipation theorem ⋮ Detection of changes in non-linear dynamics for time series based on the theory of \(\mathrm{KM}_2 \mathrm O\)-Langevin equations

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