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Examples of Analysis of Stochastic Processes Based on Time Series Data

✍ Scribed by Janez Gradišek; Rudolf Friedrich; Edvard Govekar; Igor Grabec


Book ID
110413473
Publisher
Springer Netherlands
Year
2003
Tongue
English
Weight
433 KB
Volume
38
Category
Article
ISSN
0025-6455

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✍ J. GRADIŠEK; E. GOVEKAR; I. GRABEC 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 352 KB

Analysis of stochastic processes governed by the Langevin equation is discussed. The analysis is based on a general method for non-parametric estimation of deterministic and random terms of the Langevin equation directly from given data. Separate estimation of the terms corresponds to the decomposit