kramersmoyal: Kramers--Moyal coefficients for stochastic processes
arXiv:1912.09737 · doi:10.21105/joss.01693
Abstract
kramersmoyal is a python library to extract the Kramers--Moyal coefficients from timeseries of any dimension and to any desired order. This package employs a non-parametric Nadaraya--Watson estimator, i.e., kernel-density estimators, to retrieve the drift, diffusion, and higher-order moments of stochastic timeseries of any dimension.
5 pages, 3 figures, software link