Parameter-free resolution of the superposition of stochastic signals
Abstract
This paper presents a direct method to obtain the deterministic and stochastic contribution of the sum of two independent sets of stochastic processes, one of which is composed by Ornstein-Uhlenbeck processes and the other being a general (non-linear) Langevin process. The method is able to distinguish between all stochastic process, retrieving their corresponding stochastic evolution equations. This framework is based on a recent approach for the analysis of multidimensional Langevin-type stochastic processes in the presence of strong measurement (or observational) noise, which is here extended to impose neither constraints nor parameters and extract all coefficients directly from the empirical data sets. Using synthetic data, it is shown that the method yields satisfactory results.
Keywords
Cite
@article{arxiv.1510.07285,
title = {Parameter-free resolution of the superposition of stochastic signals},
author = {Teresa Scholz and Frank Raischel and Vitor V. Lopes and Bernd Lehle and Matthias Wächter and Joachim Peinke and Pedro G. Lind},
journal= {arXiv preprint arXiv:1510.07285},
year = {2015}
}
Comments
12 pages, 7 figures