kramersmoyal: Kramers--Moyal coefficients for stochastic processes
classification
⚛️ physics.comp-ph
nlin.AO
keywords
coefficientsdimensionkramers--moyalkramersmoyalstochastictimeseriesdesireddiffusion
read the original abstract
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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