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Kernel-based regression of drift and diffusion coefficients of stochastic processes
- Source :
-
Physics Letters A . Sep2009, Vol. 373 Issue 39, p3507-3512. 6p. - Publication Year :
- 2009
-
Abstract
- Abstract: To improve the estimation of drift and diffusion coefficients of stochastic processes in case of a limited amount of usable data due to e.g. non-stationarity of natural systems we suggest to use kernel-based instead of histogram-based regression. We propose a method for bandwidth selection and compare it to a widely used cross-validation method. Kernel-based regression reveals an enhanced ability to estimate drift and diffusion especially for a small amount of data. This allows one to improve resolvability of changes in complex dynamical systems as evidenced by an exemplary analysis of electroencephalographic data recorded from a human epileptic brain. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 03759601
- Volume :
- 373
- Issue :
- 39
- Database :
- Academic Search Index
- Journal :
- Physics Letters A
- Publication Type :
- Academic Journal
- Accession number :
- 44038541
- Full Text :
- https://doi.org/10.1016/j.physleta.2009.07.073