A direct method for the Langevin-analysis of multidimensional stochastic processes with strong correlated measurement noise
DOI10.1007/978-3-319-28725-6_1zbMATH Open1366.62178OpenAlexW2508150057MaRDI QIDQ5280119FDOQ5280119
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
Recommendations
- Stochastic time series with strong, correlated measurement noise: Markov analysis in \(N\) dimensions
- Parameter-free resolution of the superposition of stochastic signals
- Analysis of data sets of stochastic systems
- Examples of analysis of stochastic processes based on time series data
- Analysis of data from periodically forced stochastic processes
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)
Cites Work
- On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
- Kernel-based regression of drift and diffusion coefficients of stochastic processes
- The Fokker-Planck equation. Methods of solutions and applications.
- Stochastic time series with strong, correlated measurement noise: Markov analysis in \(N\) dimensions
- Experimental indications for Markov properties of small-scale turbulence
- Parameter-free resolution of the superposition of stochastic signals
Cited In (4)
Uses Software
This page was built for publication: A direct method for the Langevin-analysis of multidimensional stochastic processes with strong correlated measurement noise
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5280119)
