kramersmoyal: Kramers--Moyal coefficients for stochastic processes

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

References in corpus (2)

• Efficiently and easily integrating differential equations with JiTCODE, JiTCDDE, and JiTCSDE
• The Langevin Approach: An R Package for Modeling Markov Processes

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