Analysis of time series from stochastic processes

@article{Gradisek2000AnalysisOT,
  title={Analysis of time series from stochastic processes},
  author={Gradisek and Siegert and Friedrich and Grabec},
  journal={Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics},
  year={2000},
  volume={62 3 Pt A},
  pages={
          3146-55
        }
}
  • Gradisek, Siegert, +1 author Grabec
  • Published 1 September 2000
  • Mathematics
  • Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics
Analysis of time series from stochastic processes governed by a Langevin equation is discussed. Several applications for the analysis are proposed based on estimates of drift and diffusion coefficients of the Fokker-Planck equation. The coefficients are estimated directly from a time series. The applications are illustrated by examples employing various synthetic time series and experimental time series from metal cutting. 
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