On low-sampling-rate Kramers-Moyal coefficients

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.

9 pages, 4 figures

References in corpus (2)

• Exact corrections for finite-time drift and diffusion coefficients
• Short-time dynamics of finite-size mean-field systems

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