Analysis of time series from stochastic processes
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.
Gradisek
J
Faculty of Mechanical Engineering, University of Ljubljana, Askerceva 6, SI-1000 Ljubljana, Slovenia.
Siegert
S
Friedrich
R
Grabec
I