The Langevin Approach: An R Package for Modeling Markov Processes

@article{Rinn2016TheLA,
  title={The Langevin Approach: An R Package for Modeling Markov Processes},
  author={Philip Rinn and Pedro G. Lind and Matthias Wachter and Joachim Peinke},
  journal={Journal of open research software},
  year={2016},
  volume={4}
}
We describe an R package developed by the research group Turbulence, Wind energy and Stochastics (TWiSt) at the Carl von Ossietzky University of Oldenburg, which extracts the (stochastic) evolution equation underlying a set of data or measurements. The method can be directly applied to data sets with one or two stochastic variables. Examples for the one-dimensional and two-dimensional cases are provided. This framework is valid under a small set of conditions which are explicitly presented and… 

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