Nonparametric model reconstruction for stochastic differential equations from discretely observed time-series data
نویسندگان
چکیده
منابع مشابه
Nonparametric model reconstruction for stochastic differential equations from discretely observed time-series data.
A scheme is developed for estimating state-dependent drift and diffusion coefficients in a stochastic differential equation from time-series data. The scheme does not require to specify parametric forms for the drift and diffusion coefficients in advance. In order to perform the nonparametric estimation, a maximum likelihood method is combined with a concept based on a kernel density estimation...
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ژورنال
عنوان ژورنال: Physical Review E
سال: 2011
ISSN: 1539-3755,1550-2376
DOI: 10.1103/physreve.84.066702