TY  - JOUR
AU  - Rydin Gorjão, Leonardo
AU  - Witthaut, Dirk
AU  - Lehnertz, Klaus
AU  - Lind, Pedro G.
TI  - Arbitrary-Order Finite-Time Corrections for the Kramers–Moyal Operator
JO  - Entropy
VL  - 23
IS  - 5
SN  - 1099-4300
CY  - Basel
PB  - MDPI
M1  - FZJ-2021-01852
SP  - 517 -
PY  - 2021
AB  - With the aim of improving the reconstruction of stochastic evolution equations from empirical time-series data, we derive a full representation of the generator of the Kramers–Moyal operator via a power-series expansion of the exponential operator. This expansion is necessary for deriving the different terms in a stochastic differential equation. With the full representation of this operator, we are able to separate finite-time corrections of the power-series expansion of arbitrary order into terms with and without derivatives of the Kramers–Moyal coefficients. We arrive at a closed-form solution expressed through conditional moments, which can be extracted directly from time-series data with a finite sampling intervals. We provide all finite-time correction terms for parametric and non-parametric estimation of the Kramers–Moyal coefficients for discontinuous processes which can be easily implemented—employing Bell polynomials—in time-series analyses of stochastic processes. With exemplary cases of insufficiently sampled diffusion and jump-diffusion processes, we demonstrate the advantages of our arbitrary-order finite-time corrections and their impact in distinguishing diffusion and jump-diffusion processes strictly from time-series data.
LB  - PUB:(DE-HGF)16
C6  - 33923154
UR  - <Go to ISI:>//WOS:000653859500001
DO  - DOI:10.3390/e23050517
UR  - https://juser.fz-juelich.de/record/891975
ER  -