On low-sampling-rate Kramers-Moyal coefficients
Statistical Mechanics
2015-03-17 v2 Statistical Finance
Abstract
We analyze the impact of the sampling interval on the estimation of Kramers-Moyal coefficients. We obtain the finite-time expressions of these coefficients for several standard processes. We also analyze extreme situations such as the independence and no-fluctuation limits that constitute useful references. Our results aim at aiding the proper extraction of information in data-driven analysis.
Keywords
Cite
@article{arxiv.1010.0854,
title = {On low-sampling-rate Kramers-Moyal coefficients},
author = {C. Anteneodo and S. M. Duarte Queiros},
journal= {arXiv preprint arXiv:1010.0854},
year = {2015}
}
Comments
9 pages, 4 figures