516 citations · 1.3k across the 16 of their papers we have counts for
6 papers · 1 filter
Searching for optimal variables in real multivariate stochastic data
Frank Raischel, Ana Russo, Maria Haase +2
By implementing a recent technique for the determination of stochastic eigendirections of two coupled stochastic variables, we investigate the evolution of fluctuations of NO2 conc…
Estimation of drift and diffusion functions from time series data: A maximum likelihood framework
David Kleinhans
Complex systems are characterized by a huge number of degrees of freedom often interacting in a non-linear manner. In many cases macroscopic states, however, can be characterized b…
Continuous Time Random Walks (CTRWs): Simulation of continuous trajectories
D. Kleinhans, R. Friedrich
Continuous time random walks have been developed as a straightforward generalisation of classical random walk processes. Some 10 years ago, Fogedby introduced a continuous represen…
Markov properties in presence of measurement noise
David Kleinhans, Rudolf Friedrich, Matthias Waechter +1
Recently, several powerful tools for the reconstruction of stochastic differential equations from measured data sets have been proposed [e.g. Siegert et al., Physics Letters A 243,…
Maximum Likelihood Estimation of Drift and Diffusion Functions
D. Kleinhans, R. Friedrich
The maximum likelihood approach is adapted to the problem of estimation of drift and diffusion functions of stochastic processes from measured time series. We reconcile a previousl…
An Iterative Procedure for the Estimation of Drift and Diffusion Coefficients of Langevin Processes
D. Kleinhans, R. Friedrich, A. Nawroth +1
A general method is proposed which allows one to estimate drift and diffusion coefficients of a stochastic process governed by a Langevin equation. It extends a previously devised…