Markov properties in presence of measurement noise.
Recently, several powerful tools for the reconstruction of stochastic differential equations from measured data sets have been proposed [e.g., Siegert, Phys. Lett. A 243, 275 (1998); Hurn, J. Time Series Anal. 24, 45 (2003)]. Efficient application of the methods, however, generally requires Markov properties to be fulfilled. This constraint typically seems to be violated on small scales, which frequently is attributed to physical effects. On the other hand, measurement noise such as uncorrelated measurement and discretization errors has large impacts on the statistics of measurements on small scales. We demonstrate that the presence of measurement noise, likewise, spoils Markov properties of an underlying Markov process. This fact is promising for the further development of techniques for the reconstruction of stochastic processes from measured data, since limitations at small scales might stem from artificial noise sources rather than from intrinsic properties of the dynamics of the underlying process. Measurement noise, however, can be controlled much better than the intrinsic dynamics of the underlying process.
Kleinhans
David
D
Westfälische Wilhelms-Universität Münster, D-48149 Münster, Germany.
Friedrich
Rudolf
R
Wächter
Matthias
M
Peinke
Joachim
J