A fixed mass method for the Kramers-Moyal expansion—Application to time series with outliers

Extraction of stochastic and deterministic components from empirical data—necessary for the reconstruction of the dynamics of the system—is discussed. We determine both components using the Kramers-Moyal expansion. In our earlier papers, we obtained large fluctuations in the magnitude of both terms for rare or extreme valued events in the data. Calculations for such events are burdened by an unsatisfactory quality of the statistics. In general, the method is sensitive to the binning procedure applied for the construction of histograms. Instead of the commonly used constant width of bins, we use here a constant number of counts for each bin. This approach—the fixed mass method—allows to include in the calculation events, which do not yield satisfactory statistics in the fixed bin width method. The method developed is general. To demonstrate its properties, here, we present the modified Kramers-Moyal expansion method and discuss its properties by the application of the fixed mass method to four representati...