TY - JOUR
T1 - Finite sampling interval effects in Kramers-Moyal analysis
AU - Lade, Steven J.
PY - 2009/10/5
Y1 - 2009/10/5
N2 - Large sampling intervals can affect reconstruction of Kramers-Moyal coefficients from data. A new method, which is direct, non-stochastic and exact up to numerical accuracy, is developed to estimate these finite time effects. The method is applied numerically to biologically inspired examples. Exact finite time effects are also described analytically for two special cases. The approach developed will permit better evaluation of Langevin or Fokker-Planck based models from data with large sampling intervals. It can also be used to predict the sampling intervals for which finite time effects become significant.
AB - Large sampling intervals can affect reconstruction of Kramers-Moyal coefficients from data. A new method, which is direct, non-stochastic and exact up to numerical accuracy, is developed to estimate these finite time effects. The method is applied numerically to biologically inspired examples. Exact finite time effects are also described analytically for two special cases. The approach developed will permit better evaluation of Langevin or Fokker-Planck based models from data with large sampling intervals. It can also be used to predict the sampling intervals for which finite time effects become significant.
KW - Adjoint operator
KW - Finite sampling interval
KW - Fokker-Planck equation
KW - Kramers-Moyal coefficients
KW - Molecular motors
KW - Tethered diffusion
UR - http://www.scopus.com/inward/record.url?scp=70149115226&partnerID=8YFLogxK
U2 - 10.1016/j.physleta.2009.08.029
DO - 10.1016/j.physleta.2009.08.029
M3 - Article
SN - 0375-9601
VL - 373
SP - 3705
EP - 3709
JO - Physics Letters, Section A: General, Atomic and Solid State Physics
JF - Physics Letters, Section A: General, Atomic and Solid State Physics
IS - 41
ER -