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kramersmoyal: Kramers--Moyal coefficients for stochastic processes

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arxiv 1912.09737 v1 pith:L7NEWVJR submitted 2019-12-20 physics.comp-ph nlin.AO

Leonardo Rydin Gorjão , Francisco Meirinhos This is my paper · ORCID
classification physics.comp-phnlin.AO
keywords coefficientsdimensionkramers--moyalkramersmoyalstochastictimeseriesdesireddiffusion
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kramersmoyal is a python library to extract the Kramers--Moyal coefficients from timeseries of any dimension and to any desired order. This package employs a non-parametric Nadaraya--Watson estimator, i.e., kernel-density estimators, to retrieve the drift, diffusion, and higher-order moments of stochastic timeseries of any dimension.

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