TY  - JOUR
A1  - Meyer, Philipp
A1  - Aghion, Erez
A1  - Kantz, Holger
T1  - Decomposing the effect of anomalous diffusion enables direct calculation of the Hurst exponent and model classification for single random paths
JF  - Journal of physics / Institute of Physics. A, Mathematical, nuclear and general
N2  - Recently, a large number of research teams from around the world collaborated in the so-called 'anomalous diffusion challenge'. Its aim: to develop and compare new techniques for inferring stochastic models from given unknown time series, and estimate the anomalous diffusion exponent in data. We use various numerical methods to directly obtain this exponent using the path increments, and develop a questionnaire for model selection based on feature analysis of a set of known stochastic processes given as candidates. Here, we present the theoretical background of the automated algorithm which we put for these tasks in the diffusion challenge, as a counter to other pure data-driven approaches.
KW  - time-series analysis
KW  - decomposing anomalous diffusion
KW  - anomalous
KW  - diffusion exponent
KW  - process inference
Y1  - 2022
U6  - https://doi.org/10.1088/1751-8121/ac72d4
SN  - 1751-8113
SN  - 1751-8121
VL  - 55
IS  - 27
PB  - IOP Publ. Ltd.
CY  - Bristol
ER  -