Finite sampling interval effects in Kramers-Moyal analysis

DOI10.1016/J.PHYSLETA.2009.08.029MaRDI QIDQ665416zbMATH OpenOpenAlexFDO

Authors Steven J. Lade

Publication date 5 March 2012

Published in Physics Letters. A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0905.4324

zbMATH Keywords

Fokker-Planck equationadjoint operatormolecular motorsfinite sampling intervalKramers-Moyal coefficientstethered diffusion

Mathematics Subject Classification ID

Biochemistry, molecular biology (92C40) Time series analysis of dynamical systems (37M10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Transport processes in time-dependent statistical mechanics (82C70)

Abstract: Large sampling intervals can affect reconstruction of Kramers-Moyal coefficients from data. A new method, which is direct, non-stochastic and exact up to numerical accuracy, can estimate these finite-time effects. For the first time, exact finite-time effects are described analytically for special cases; biologically inspired numerical examples are also worked through numerically. The approach developed here will permit better evaluation of Langevin or Fokker-Planck based models from data with large sampling intervals. It can also be used to predict the sampling intervals for which finite-time effects become significant.

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Cites work

• A note on estimating drift and diffusion parameters from time series
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• Finite sampling interval effects in Kramers-Moyal analysis
• Higher-order implicit strong numerical schemes for stochastic differential equations
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Cited in

(6)

• Data-driven stochastic modeling of coarse-grained dynamics with finite-size effects using Langevin regression
• Learning about structural errors in models of complex dynamical systems
• Finite sampling interval effects in Kramers-Moyal analysis
• Robust identification of harmonic oscillator parameters using the adjoint Fokker-Planck equation
• Estimating Kramers-Moyal coefficients in short and non-stationary data sets
• Enhancing the accuracy of a data-driven reconstruction of bivariate jump-diffusion models with corrections for higher orders of the sampling interval

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