Analysis of time series from stochastic processes
- 1 September 2000
- journal article
- research article
- Published by American Physical Society (APS) in Physical Review E
- Vol. 62 (3), 3146-3155
- https://doi.org/10.1103/physreve.62.3146
Abstract
Analysis of time series from stochastic processes governed by a Langevin equation is discussed. Several applications for the analysis are proposed based on estimates of drift and diffusion coefficients of the Fokker-Planck equation. The coefficients are estimated directly from a time series. The applications are illustrated by examples employing various synthetic time series and experimental time series from metal cutting.Keywords
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