Related papers: Statistics of Extreme Values in Time Series with I…
We give conditions to prove the existence of an Extremal Index for general stationary stochastic processes by detecting the presence of one or more underlying periodic phenomena. This theory, besides giving general useful tools to identify…
Being the limits of copulas of componentwise maxima in independent random samples, extreme-value copulas can be considered to provide appropriate models for the dependence structure between rare events. Extreme-value copulas not only arise…
We obtain error terms on the rate of convergence to Extreme Value Laws for a general class of weakly dependent stochastic processes. The dependence of the error terms on the `time' and `length' scales is very explicit. Specialising to data…
We consider the passage time problem for L\'evy processes, emphasising heavy tailed cases. Results are obtained under quite mild assumptions, namely, drift to $-\infty$ a.s. of the process, possibly at a linear rate (the finite mean case),…
A central issue in the theory of extreme values focuses on suitable conditions such that the well-known results for the limiting distributions of the maximum of i.i.d. sequences can be applied to stationary ones. In this context, the…
A stochastic model for intermittent fluctuations due to a super-position of uncorrelated Lorentzian pulses is presented. For constant pulse duration, this is shown to result in an exponential power spectral density for the stationary…
The exponential upper bounds for the convergence rate of the distribution of restorable element with partially energized standby redundancy are founded, in the case when all working and repair times are bounded by exponential random…
Diffusion on a diluted hypercube has been proposed as a model for glassy relaxation and is an example of the more general class of stochastic processes on graphs. In this article we determine numerically through large scale simulations the…
A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…
We study time evolution of critical fluctuations of conserved charges near the QCD critical point in the context of relativistic heavy ion collisions. A stochastic diffusion equation is employed in order to describe the diffusion property…
The core of the classical block maxima method consists of fitting an extreme value distribution to a sample of maxima over blocks extracted from an underlying series. In asymptotic theory, it is usually postulated that the block maxima are…
The fracture stress of materials typically depends on the sample size and is traditionally explained in terms of extreme value statistics. A recent work reported results on the carrying capacity of long polyamide and polyester wires and…
The variability of temporal (or spatial) fluctuations of any variable is represented in conventional statistical theory by the relative dispersion equal to the standard deviation divided by the mean . The Relative Dispersion decreases with…
We investigate the statistical properties of fluctuations in active systems that are governed by non-symmetric responses. Both an underdamped Langevin system with an odd resistance tensor and an overdamped Langevin system with an odd…
It is known that the distribution of nonreversible Markov processes breaking the detailed balance condition converges faster to the stationary distribution compared to reversible processes having the same stationary distribution. This is…
Fluctuation scaling has been observed universally in a wide variety of phenomena. In time series that describe sequences of events, fluctuation scaling is expressed as power function relationships between the mean and variance of either…
We study the dynamics of ferromagnetic spin systems quenched from infinite temperature to their critical point. We show that these systems are aging in the long-time regime, i.e., their two-time autocorrelation and response functions and…
The fluctuation-dissipation relation is calculated for a class of stochastic models obeying a master equation. The transition rates are assumed to obey detailed balance also in the presence of a field. It is shown that in general the linear…
Superstatistics is a general method from nonequilibrium statistical physics which has been applied to a variety of complex systems, ranging from hydrodynamic turbulence to traffic delays and air pollution dynamics. Here, we investigate…
We consider resurgence for the nonconformal Bjorken flow with Fermi-Dirac and Bose-Einstein statistics on the extended relaxation-time approximation. We firstly consider full formal transseries expanded around the equilibrium and then…