Enhancing the accuracy of a data-driven reconstruction of bivariate jump-diffusion models with corrections for higher orders of the sampling interval

Abstract

Abstract We evaluate the significance of a recently proposed bivariate jump-diffusion model for a data-driven characterization of interactions between complex dynamical systems. For various coupled and non-coupled jump-diffusion processes, we find that the inevitably finite sampling interval of time-series data negatively affects the reconstruction accuracy of higher-order conditional moments that are required to reconstruct the underlying jump-diffusion equations. We derive correction terms for conditional moments in higher orders of the sampling interval and demonstrate their suitability to strongly enhance the data-driven reconstruction accuracy.