Stochastic time series with strong, correlated measurement noise: Markov analysis in N dimensions
DOI10.1007/S10955-013-0803-ZzbMATH Open1294.62207OpenAlexW2057763728MaRDI QIDQ377763FDOQ377763
Authors: Bernd Lehle 
Publication date: 7 November 2013
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10955-013-0803-z
Recommendations
- A direct method for the Langevin-analysis of multidimensional stochastic processes with strong correlated measurement noise
- scientific article; zbMATH DE number 4094503
- On periodically correlated wide-sense Markov processes
- Extrapolation of periodically correlated stochastic processes observed with noise
- On the existence of proper stochastic Markov models for statistical reconstruction and prediction of chaotic time series
- Marked empirical processes for non-stationary time series
- Characterization of periodically correlated and multivariate stationary discrete time wide Markov processes
- Generation and analysis of non-Gaussian Markov time series
- Markov chain Monte Carlo estimation of nonlinear dynamics from time series
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) General second-order stochastic processes (60G12)
Cites Work
- The Fokker-Planck equation. Methods of solution and applications.
- Title not available (Why is that?)
- Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
- Reconstruction of dynamical equations for traffic flow
- A note on estimating drift and diffusion parameters from time series
- An iterative procedure for the estimation of drift and diffusion coefficients of langevin processes
- Analysis of data sets of stochastic systems
- Title not available (Why is that?)
- RECONSTRUCTION OF THE DETERMINISTIC DYNAMICS OF STOCHASTIC SYSTEMS
- SCALING ANALYSIS AND EVOLUTION EQUATION OF THE NORTH ATLANTIC OSCILLATION INDEX FLUCTUATIONS
- MLE for partially observed diffusions: Direct maximization vs. the EM algorithm
Cited In (6)
- Stochastic processes in a confining harmonic potential in the presence of static and dynamic measurement noise
- A direct method for the Langevin-analysis of multidimensional stochastic processes with strong correlated measurement noise
- Enhancing the accuracy of a data-driven reconstruction of bivariate jump-diffusion models with corrections for higher orders of the sampling interval
- Parameter-free resolution of the superposition of stochastic signals
- Noise-related multivariate optimal joint-analysis in longitudinal stochastic processes
- Robust identification of harmonic oscillator parameters using the adjoint Fokker-Planck equation
This page was built for publication: Stochastic time series with strong, correlated measurement noise: Markov analysis in \(N\) dimensions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q377763)
