scholarly journals Arbitrary-Order Finite-Time Corrections for the Kramers–Moyal Operator

Entropy ◽  
2021 ◽  
Vol 23 (5) ◽  
pp. 517
Author(s):  
Leonardo Rydin Gorjão ◽  
Dirk Witthaut ◽  
Klaus Lehnertz ◽  
Pedro G. Lind
Keyword(s):  
Time Series ◽  
Power Series ◽  
Finite Time ◽  
Time Series Data ◽  
Arbitrary Order ◽  
Diffusion Processes ◽  
Power Series Expansion ◽  
Jump Diffusion ◽  
Series Data ◽  
Jump Diffusion Processes

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.

scholarly journals Testing Jump-Diffusion in Epileptic Brain Dynamics: Impact of Daily Rhythms

Entropy ◽  
2021 ◽  
Vol 23 (3) ◽  
pp. 309
Author(s):  
Jutta G. Kurth ◽  
Thorsten Rings ◽  
Klaus Lehnertz
Keyword(s):  
Dynamical Systems ◽  
Evolution Equations ◽  
Time Series Data ◽  
Diffusion Processes ◽  
Jump Diffusion ◽  
Series Data ◽  
Brain Dynamics ◽  
Complex Dynamical Systems ◽  
Jump Diffusion Processes ◽  
External Forcings

Stochastic approaches to complex dynamical systems have recently provided broader insights into spatial-temporal aspects of epileptic brain dynamics. Stochastic qualifiers based on higher-order Kramers-Moyal coefficients derived directly from time series data indicate improved differentiability between physiological and pathophysiological brain dynamics. It remains unclear, however, to what extent stochastic qualifiers of brain dynamics are affected by other endogenous and/or exogenous influencing factors. Addressing this issue, we investigate multi-day, multi-channel electroencephalographic recordings from a subject with epilepsy. We apply a recently proposed criterion to differentiate between Langevin-type and jump-diffusion processes and observe the type of process most qualified to describe brain dynamics to change with time. Stochastic qualifiers of brain dynamics are strongly affected by endogenous and exogenous rhythms acting on various time scales—ranging from hours to days. Such influences would need to be taken into account when constructing evolution equations for the epileptic brain or other complex dynamical systems subject to external forcings.

scholarly journals HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY

2001 ◽  
Vol 17 (1) ◽  
pp. 29-69 ◽  
Author(s):  
Peter C.B. Phillips ◽  
Hyungsik Roger Moon ◽  
Zhijie Xiao
Keyword(s):  
Time Series ◽  
Unit Root ◽  
Time Series Data ◽  
Diffusion Processes ◽  
Rates Of Convergence ◽  
Series Data ◽  
New Class ◽  
Power Rate ◽  
Integrated Time Series ◽  
Conventional Unit

A new model of near integration is formulated in which the local to unity parameter is identifiable and consistently estimable with time series data. The properties of the model are investigated, new functional laws for near integrated time series are obtained that lead to mixed diffusion processes, and consistent estimators of the localizing parameter are constructed. The model provides a more complete interface between I(0) and I(1) models than the traditional local to unity model and leads to autoregressive coefficient estimates with rates of convergence that vary continuously between the O(√n) rate of stationary autoregression, the O(n) rate of unit root regression, and the power rate of explosive autoregression. Models with deterministic trends are also considered, least squares trend regression is shown to be efficient, and consistent estimates of the localizing parameter are obtained for this case also. Conventional unit root tests are shown to be consistent against local alternatives in the new class.

Graphical Exploratory Data Analysis for Categorical Longitudinal and Time Series Data

2013 ◽  
Author(s):  
Stephen J. Tueller ◽  
Richard A. Van Dorn ◽  
Georgiy Bobashev ◽  
Barry Eggleston
Keyword(s):  
Time Series ◽  
Data Analysis ◽  
Exploratory Data Analysis ◽  
Time Series Data ◽  
Series Data ◽  
Exploratory Data

Faktor-Faktor Yang Mempengaruhi Nilai Tukar Dollar Amerika Serikat Terhadap Rupiah Tahun 2000–2013

2017 ◽  
Vol 1 (2) ◽  
pp. 177-191
Author(s):  
Rizki Rahma Kusumadewi ◽  
Wahyu Widayat
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Money Supply ◽  
Time Series Data ◽  
The United States ◽  
Economic Conditions ◽  
Series Data ◽  
Arch Model ◽  
United States Dollar ◽  
The Exchange Rate

Exchange rate is one tool to measure a country’s economic conditions. The growth of a stable currency value indicates that the country has a relatively good economic conditions or stable. This study has the purpose to analyze the factors that affect the exchange rate of the Indonesian Rupiah against the United States Dollar in the period of 2000-2013. The data used in this study is a secondary data which are time series data, made up of exports, imports, inflation, the BI rate, Gross Domestic Product (GDP), and the money supply (M1) in the quarter base, from first quarter on 2000 to fourth quarter on 2013. Regression model time series data used the ARCH-GARCH with ARCH model selection indicates that the variables that significantly influence the exchange rate are exports, inflation, the central bank rate and the money supply (M1). Whereas import and GDP did not give any influence.

An Anomaly Detection Method with Exemplar Subsequence for Time Series Data

2016 ◽  
Vol 136 (3) ◽  
pp. 363-372
Author(s):  
Takaaki Nakamura ◽  
Makoto Imamura ◽  
Masashi Tatedoko ◽  
Norio Hirai
Keyword(s):  
Time Series ◽  
Anomaly Detection ◽  
Time Series Data ◽  
Detection Method ◽  
Series Data

The Comparison of Land Subsidence between East and West Side of Bangkok, Thailand

2020 ◽  
Vol 17 (3) ◽  
pp. 1
Author(s):  
Angkana Pumpuang ◽  
Anuphao Aobpaet
Keyword(s):  
Time Series ◽  
Land Subsidence ◽  
Time Series Data ◽  
Series Data ◽  
Industrial Estates ◽  
Vertical Displacements ◽  
Land Deformation ◽  
Extensive Farming ◽  
Chao Phraya River ◽  
Set Up

The land deformation in line of sight (LOS) direction can be measured using time series InSAR. InSAR can successfully measure land subsidence based on LOS in many big cities, including the eastern and western regions of Bangkok which is separated by Chao Phraya River. There are differences in prosperity between both sides due to human activities, land use, and land cover. This study focuses on the land subsidence difference between the western and eastern regions of Bangkok and the most possible cause affecting the land subsidence rates. The Radarsat-2 single look complex (SLC) was used to set up the time series data for long term monitoring. To generate interferograms, StaMPS for Time Series InSAR processing was applied by using the PSI algorithm in DORIS software. It was found that the subsidence was more to the eastern regions of Bangkok where the vertical displacements were +0.461 millimetres and -0.919 millimetres on the western and the eastern side respectively. The districts of Nong Chok, Lat Krabang, and Khlong Samwa have the most extensive farming area in eastern Bangkok. Besides, there were also three major industrial estates located in eastern Bangkok like Lat Krabang, Anya Thani and Bang Chan Industrial Estate. By the assumption of water demand, there were forty-eight wells and three wells found in the eastern and western part respectively. The number of groundwater wells shows that eastern Bangkok has the demand for water over the west, and the pumping of groundwater is a significant factor that causes land subsidence in the area.Keywords: Subsidence, InSAR, Radarsat-2, Bangkok

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