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On low-sampling-rate Kramers-Moyal coefficients (1010.0854v2)
Published 5 Oct 2010 in cond-mat.stat-mech and q-fin.ST
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.
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