2 papers
physics.data-an2016
The Langevin Approach: An R Package for Modeling Markov Processes
Philip Rinn, Pedro G. Lind, Matthias Wächter +1
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 (stoc…
q-fin.ST2015
Dynamics of quasi-stationary systems: Finance as an example
Philip Rinn, Yuriy Stepanov, Joachim Peinke +2
We propose a combination of cluster analysis and stochastic process analysis to characterize high-dimensional complex dynamical systems by few dominating variables. As an example,…