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Langevin models are frequently used to model various stochastic processes in different fields of natural and social sciences. They are adapted to measured data by estimation techniques such as maximum likelihood estimation, Markov chain Monte Carlo methods, or the non-parametric direct estimation method introduced by Friedrich et al. The latter has the distinction of being very effective in the context of large data sets. Due to their $delta$-correlated noise, standard Langevin models are limited to Markovian dynamics. A non-Markovian Langevin model can be formulated by introducing a hidden component that realizes correlated noise. For the estimation of such a partially observed diffusion a different version of the direct estimation method was introduced by Lehle et al. However, this procedure includes the limitation that the correlation length of the noise component is small compared to that of the measured component. In this work we propose another version of the direct estimation method that does not include this restriction. Via this method it is possible to deal with large data sets of a wider range of examples in an effective way. We discuss the abilities of the proposed procedure using several synthetic examples.
An efficient technique is introduced for model inference of complex nonlinear dynamical systems driven by noise. The technique does not require extensive global optimization, provides optimal compensation for noise-induced errors and is robust in a b
We investigate the effects of exponentially correlated noise on birhythmic van der Pol type oscillators. The analytical results are obtained applying the quasi-harmonic assumption to the Langevin equation to derive an approximated Fokker-Planck equat
The generalized Langevin equation (GLE) overcomes the limiting Markov approximation of the Langevin equation by an incorporated memory kernel and can be used to model various stochastic processes in many fields of science ranging from climate modelin
We consider the evolution of a network of neurons, focusing on the asymptotic behavior of spikes dynamics instead of membrane potential dynamics. The spike response is not sought as a deterministic response in this context, but as a conditional proba
A general method is proposed which allows one to estimate drift and diffusion coefficients of a stochastic process governed by a Langevin equation. It extends a previously devised approach [R. Friedrich et al., Physics Letters A 271, 217 (2000)], whi