Stochastic time series with strong, correlated measurement noise: Markov analysis in \(N\) dimensions
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Publication:377763
DOI10.1007/s10955-013-0803-zzbMath1294.62207OpenAlexW2057763728MaRDI QIDQ377763
Publication date: 7 November 2013
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10955-013-0803-z
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General second-order stochastic processes (60G12) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items (4)
A Direct Method for the Langevin-Analysis of Multidimensional Stochastic Processes with Strong Correlated Measurement Noise ⋮ Parameter-free resolution of the superposition of stochastic signals ⋮ Robust identification of harmonic oscillator parameters using the adjoint Fokker–Planck equation ⋮ Enhancing the accuracy of a data-driven reconstruction of bivariate jump-diffusion models with corrections for higher orders of the sampling interval
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