Ferretti F, Chardès V, Mora T, Walczak AM, Giardina I. Renormalization group approach to connect discrete- and continuous-time descriptions of Gaussian processes.
Phys Rev E 2022;
105:044133. [PMID:
35590618 DOI:
10.1103/physreve.105.044133]
[Citation(s) in RCA: 1] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 01/16/2021] [Accepted: 02/17/2022] [Indexed: 06/15/2023]
Abstract
Discretization of continuous stochastic processes is needed to numerically simulate them or to infer models from experimental time series. However, depending on the nature of the process, the same discretization scheme may perform very differently for the two tasks, if it is not accurate enough. Exact discretizations, which work equally well at any scale, are characterized by the property of invariance under coarse-graining. Motivated by this observation, we build an explicit renormalization group (RG) approach for Gaussian time series generated by autoregressive models. We show that the RG fixed points correspond to discretizations of linear SDEs, and only come in the form of first order Markov processes or non-Markovian ones. This fact provides an alternative explanation of why standard delay-vector embedding procedures fail in reconstructing partially observed noise-driven systems. We also suggest a possible effective Markovian discretization for the inference of partially observed underdamped equilibrium processes based on the exploitation of the Einstein relation.
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