English

Records and sequences of records from random variables with a linear trend

Statistical Mechanics 2015-05-19 v1 Probability

Abstract

We consider records and sequences of records drawn from discrete time series of the form Xn=Yn+cnX_{n}=Y_{n}+cn, where the YnY_{n} are independent and identically distributed random variables and cc is a constant drift. For very small and very large drift velocities, we investigate the asymptotic behavior of the probability pn(c)p_n(c) of a record occurring in the nnth step and the probability PN(c)P_N(c) that all NN entries are records, i.e. that X1<X2<...<XNX_1 < X_2 < ... < X_N. Our work is motivated by the analysis of temperature time series in climatology, and by the study of mutational pathways in evolutionary biology.

Keywords

Cite

@article{arxiv.1008.1482,
  title  = {Records and sequences of records from random variables with a linear trend},
  author = {Jasper Franke and Gregor Wergen and Joachim Krug},
  journal= {arXiv preprint arXiv:1008.1482},
  year   = {2015}
}

Comments

21 pages, 7 figures