Journal
PHYSICAL REVIEW LETTERS
Volume 87, Issue 25, Pages -Publisher
AMER PHYSICAL SOC
DOI: 10.1103/PhysRevLett.87.254501
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The reconstruction of Fokker-Planck equations from observed time series data suffers strongly from finite sampling rates. We show that previously published results are degraded considerably by such effects. We present correction terms which yield a robust estimation of the diffusion terms, together with a novel method for one-dimensional problems. We apply these methods to time series data of local surface wind velocities, where the dependence of the diffusion constant on the state variable shows a different behavior than previously suggested.
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