title: A fixed mass method for the Kramers-Moyal expansion--application to time series with outliers.
abstract: Extraction of stochastic and deterministic components from empirical data-necessary for the reconstruction of the dynamics of the system-is discussed. We determine both components using the Kramers-Moyal expansion. In our earlier papers, we obtained large fluctuations in the magnitude of both terms for rare or extreme valued events in the data. Calculations for such events are burdened by an unsatisfactory quality of the statistics. In general, the method is sensitive to the binning procedure applied for the construction of histograms. Instead of the commonly used constant width of bins, we use here a constant number of counts for each bin. This approach-the fixed mass method-allows to include in the calculation events, which do not yield satisfactory statistics in the fixed bin width method. The method developed is general. To demonstrate its properties, here, we present the modified Kramers-Moyal expansion method and discuss its properties by the application of the fixed mass method to four representative heart rate variability recordings with different numbers of ectopic beats. These beats may be rare events as well as outlying, i.e., very small or very large heart cycle lengths. The properties of ectopic beats are important not only for medical diagnostic purposes but the occurrence of ectopic beats is a general example of the kind of variability that occurs in a signal with outliers. To show that the method is general, we also present results for two examples of data from very different areas of science: daily temperatures at a large European city and recordings of traffics on a highway. Using the fixed mass method, to assess the dynamics leading to the outlying events we studied the occurrence of higher order terms of the Kramers-Moyal expansion in the recordings. We found that the higher order terms of the Kramers-Moyal expansion are negligible for heart rate variability. This finding opens the possibility of the application of the Langevin equation to the whole range of empirical signals containing rare or outlying events. Note, however, that the higher order terms are non-negligible for the other data studied here and for it the Langevin equation is not applicable as a model.
authors.affiliation: Faculty of Physics, Warsaw University of Technology, Koszykowa 75, 00-662 Warsaw, Poland.
authors.forename: M
authors.initials: M
authors.lastname: Petelczyc
authors.affiliation: Faculty of Physics, Warsaw University of Technology, Koszykowa 75, 00-662 Warsaw, Poland.
authors.forename: J J
authors.initials: JJ
authors.lastname: Żebrowski
authors.affiliation: Institute of Cardiology, Alpejska 42, 04-628 Warsaw, Poland.
authors.forename: E
authors.initials: E
authors.lastname: Orłowska-Baranowska
mesh_terms: D000818:Animals; D001683:Biological Clocks / Q000502:physiology*; D003198:Computer Simulation; D006329:Heart Conduction System / Q000502:physiology*; D006339:Heart Rate / Q000502:physiology*; D006801:Humans; D008955:Models, Cardiovascular; D017711:Nonlinear Dynamics