
The Langevin Approach: An R Package for Modeling Markov Processes
References
- Böttcher F Peinke J Kleinhans D Friedrich R Lind P G Haase M Reconstruction of complex dynamical systems affected by strong measrement noise Physical Review Letters 2006 97 090603 10.1103/PhysRevLett.97.090603
-
Dagum
L
Menon
R
OpenMP: An industry standard API for shared-memory programming Computational Science & Engineering 1998 IEEE 5 1 46 55 10.1109/99.660313 -
Eddelbuettel
D
François
R
Rcpp: Seamless R and C++ integration
Journal of Statistical Software
2011
40
8
1
18
10.18637/jss.v040.i08
URL
http://www.jstatsoft.org/v40/i08/ - Eddelbuettel D Sanderson C RcppArmadillo: Accelerating R with high-performance C++ linear algebra Computational Statistics and Data Analysis 2014 March 71 1054 1063 10.1016/j.csda.2013.02.005
- Friedrich R Peinke J Description of a turbulent cascade by a Fokker-Planck equation Physical Review Letters 1997 78 863 866 10.1103/PhysRevLett.78.863
-
Friedrich
R
Peinke
J
Sahimi
M
Tabar
M R R
Approaching complexity by stochastic methods: From biological systems to turbulence
Physics Reports
2011
September
506
5
87
162
0370–1573 10.1016/j.physrep.2011.05.003 - Gardiner C W Handbook of Stochastic Methods 2004 third edition Berlin Springer Verlag 10.1007/978-3-662-05389-8
- Hadjihosseini A Peinke J Hoffmann N P Stochastic analysis of ocean wave states with and without rogue waves New Journal of Physics 2014 16 5 053037 10.1088/1367-2630/16/5/053037
- Hänggi P Thomas H Stochastic processes: Time-evolution, symmetries and linear response Physics Reports 1982 88 207 319 10.1016/0370-1573(82)90045-X
- Honisch C Friedrich R Estimation of kramers-moyal coefficients at low sampling rates Physical Review E 2011 June 83 6 066701 10.1103/PhysRevE.83.066701
- Kleinhans D Estimation of drift and diffusion functions from time series data: A maximum likelihood framework Physical Review E 2012 February 85 2 026705 10.1103/PhysRevE.85.026705
- Kleinhans D Friedrich R Maximum likelihood estimation of drift and diffusion functions Physics Letters A 2007 368 3–4 194 198 10.1016/j.physleta.2007.03.082
- Kleinhans D Friedrich R Wächter M Peinke J Markov properties in presence of measurement noise Physical Review E 2007 Oct 76 041109 10.1103/PhysRevE.76.041109
- Lade S J Finite sampling interval effects in kramers-moyal analysis Physics Letters A 2009 373 3705 3709 10.1016/j.physleta.2009.08.029
- Lamouroux D Lehnertz K Kernel-based regression of drift and diffusion coefficients of stochastic processes Physics Letters A 2009 373 3507 3512 10.1016/j.physleta.2009.07.073
-
Lehle
B
Analysis of stochastic time series in the presence of strong measurement noise
Physical Review E
2011
February
83
2
021113
1550–2376 10.1103/PhysRevE.83.021113 -
Lehle
B
Stochastic time series with strong, correlated measurement noise: Markov analysis in n dimensions
Journal of Statistical Physics
2013
September
152
6
1145
1169
1572–9613 10.1007/s10955-013-0803-z -
Lemon
J
Plotrix: A package in the red light district of R
R-News
2006
6
4
8
12
URL
https://cran.r-project.org/doc/Rnews/Rnews_2006-4.pdf - Lind P G Haase M Böttcher F Peinke J Kleinhans D Friedrich R Extracting strong measurement noise from stochastic time series: Applications to empirical data Physical Review E 2010 81 041125 10.1103/PhysRevE.81.041125
- Lind P G Herráez I Wächter M Peinke J Fatigue loads estimation through a simple stochastic model Energies 2014 7 8279 8293 10.3390/en7128279
-
R Core Team
R: A Language and Environment for Statistical Computing
2015
Vienna, Austria
R Foundation for Statistical Computing
URL
http: //www.R-project.org/ - Renner Ch Peinke J Friedrich R Experimental indications for Markov properties of small-scale turbulence Journal of Fluid Mechanics 2001 433 383 409 10.1017/S0022112001003597
- Riera R Anteneodo C Validation of drift and diffusion coefficients from experimental data Journal of Statistical Mechanics: Theory and Experiment 2010 2010 04 P04020 10.1088/1742-5468/2010/04/P04020
-
Rinn
P
Heißelmann
H
Wächter
M
Peinke
J
Stochastic method for in-situ damage analysis
The European Physical Journal B
2012
86
1
5
1434–6028 10.1140/epjb/e2012-30472-8 - Risken H The Fokker-Planck Equation 1996 Springer-Verlag 10.1007/978-3-642-61544-3_4
-
Sanderson
C
Armadillo: An open source C++ linear algebra library for fast prototyping and computationally intensive experiments 2010 Technical report, NICTA URLhttp://arma.sourceforge.net/armadillo_ nicta_2010.pdf -
Scholz
T
Raischel
F
Lopes
V V
Lehle
B
Wächter
M
Peinke
J
Lind
P G
Parameter-free resolution of the superposition of stochastic signals
submitted
2015
URL
http://arxiv.org/abs/1510.07285 - Siegert S Friedrich R Peinke J Analysis of data sets of stochastic systems Physics Letters A 1998 243 275 280 10.1016/S0375-9601(98)00283-7
- Stresing R Peinke J Towards a stochastic multi-point description of turbulence New Journal of Physics 2010 12 10 103046 10.1088/1367-2630/12/10/103046
- Van Kampen N G Stochastic Processes in Physics and Chemistry 2007 third edition Elsevier, Amsterdam North-Holland Personal Library
- Wächter M Milan P Mücke T Peinke J Power performance of wind energy converters characterized as stochstic process: Applications of the langevin power curve Wind Energy 2011 14 711 717 10.1002/we.453
- Wilcoxon F Individual comparisons by ranking methods Biometrics 1945 1 80 83 10.2307/3001968
DOI: https://doi.org/10.5334/jors.123 | Journal eISSN: 2049-9647
Language: English
Submitted on: Mar 14, 2016
Accepted on: Jul 1, 2016
Published on: Aug 23, 2016
Published by: Ubiquity Press
In partnership with: Paradigm Publishing Services
Publication frequency: 1 issue per year
Keywords:
© 2016 Philip Rinn, Pedro G Lind, Matthias Wächter, Joachim Peinke, published by Ubiquity Press
This work is licensed under the Creative Commons Attribution 4.0 License.