Analysis of stochastic time series in the presence of strong measurement noise

A new approach for the analysis of Langevin-type stochastic processes in the presence of strong measurement noise is presented. For the case of Gaussian distributed, exponentially correlated, measurement noise it is possible to extract the strength and the correlation time of the noise as well as po...

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Veröffentlicht in:	arXiv.org 2010-10
1. Verfasser:	Lehle, Bernd
Format:	Artikel
Sprache:	eng
Schlagworte:	Correlation analysis Mathematical analysis Noise Noise measurement Physics - Data Analysis, Statistics and Probability Polynomials Stochastic processes
Online-Zugang:	Volltext
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Beschreibung
Zusammenfassung:	A new approach for the analysis of Langevin-type stochastic processes in the presence of strong measurement noise is presented. For the case of Gaussian distributed, exponentially correlated, measurement noise it is possible to extract the strength and the correlation time of the noise as well as polynomial approximations of the drift and diffusion functions from the underlying Langevin equation.
ISSN:	2331-8422
DOI:	10.48550/arxiv.1010.5641