A direct method for the Langevin-analysis of multidimensional stochastic processes with strong correlated measurement noise

DOI10.1007/978-3-319-28725-6_1MaRDI QIDQ5280119zbMATH OpenOpenAlexFDO

Authors Teresa Scholz, Frank Raischel, Matthias Wächter, Vitor V. Lopes, Bernd Lehle, Pedro G. Lind

Publication date 20 July 2017

Published in Time Series Analysis and Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-28725-6_1

zbMATH Keywords

measurement noisestochastic processLangevin analysis

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Estimation in multivariate analysis (62H12) General second-order stochastic processes (60G12)

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Cites work

• Experimental indications for Markov properties of small-scale turbulence
• Kernel-based regression of drift and diffusion coefficients of stochastic processes
• On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
• Parameter-free resolution of the superposition of stochastic signals
• Stochastic time series with strong, correlated measurement noise: Markov analysis in \(N\) dimensions
• The Fokker-Planck equation. Methods of solutions and applications.

Cited in

(5)

• Analysis of data sets of stochastic systems
• Stochastic processes in a confining harmonic potential in the presence of static and dynamic measurement noise
• Stochastic time series with strong, correlated measurement noise: Markov analysis in \(N\) dimensions
• Noise-related multivariate optimal joint-analysis in longitudinal stochastic processes
• Parameter-free resolution of the superposition of stochastic signals

Describes a project that uses

Uses Software

• HSL
• Ipopt

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