Stochastic time series with strong, correlated measurement noise: Markov analysis in N dimensions

DOI10.1007/S10955-013-0803-ZMaRDI QIDQ377763zbMATHOpenAlexFDO

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

zbMATH Keywords

stochastic processesmeasurement noise

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 5913352 (Why is no real title available?)
• scientific article; zbMATH DE number 1042219 (Why is no real title available?)
• 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
• MLE for partially observed diffusions: Direct maximization vs. the EM algorithm
• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• RECONSTRUCTION OF THE DETERMINISTIC DYNAMICS OF STOCHASTIC SYSTEMS
• Reconstruction of dynamical equations for traffic flow
• SCALING ANALYSIS AND EVOLUTION EQUATION OF THE NORTH ATLANTIC OSCILLATION INDEX FLUCTUATIONS
• The Fokker-Planck equation. Methods of solution and applications.

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
• Robust identification of harmonic oscillator parameters using the adjoint Fokker-Planck equation
• Noise-related multivariate optimal joint-analysis in longitudinal stochastic processes
• Parameter-free resolution of the superposition of stochastic signals
• 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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