Related papers: Statistics of Extreme Values in Time Series with I…
The univariate extreme value theory deals with the convergence in type of powers of elements of sequences of cumulative distribution functions on the real line when the power index gets infinite. In terms of convergence of random variables,…
We study the effects of uniform time delays on the extreme fluctuations in stochastic synchronization and coordination problems with linear couplings in complex networks. We obtain the average size of the fluctuations at the nodes from the…
Extreme value statistics (EVS) concerns the study of the statistics of the maximum or the minimum of a set of random variables. This is an important problem for any time-series and has applications in climate, finance, sports, all the way…
Motivated by stochastic models of climate phenomena, the steady-state of a linear stochastic model with additive Gaussian white noise is studied. Fluctuation theorems for nonequilibrium steady-states provide a constraint on the character of…
The extreme values theory presents specific tools for modeling and predicting extreme phenomena. In particular, risk assessment is often analyzed through measures for tail dependence and high values clustering. Despite technological…
In this paper, we view fluctuating fronts made of particles on a one-dimensional lattice as an extreme value problem. The idea is to denote the configuration for a single front realization at time $t$ by the set of co-ordinates…
Extreme value analysis for time series is often based on the block maxima method, in particular for environmental applications. In the classical univariate case, the latter is based on fitting an extreme-value distribution to the sample of…
We investigate the statistical properties of the extreme events of the solar cycle as measured by the sunspot number. The recent advances in the methodology of the theory of extreme values is applied to the maximal extremes of the time…
We test for departures from normal and independent and identically distributed (NIID) returns, when returns under the alternative hypothesis are self-affine. Self-affine returns are either fractionally integrated and long-range dependent,…
The problem of inverse statistics (statistics of distances for which the signal fluctuations are larger than a certain threshold) in differentiable signals with power law spectrum, $E(k) \sim k^{-\alpha}$, $3 \le \alpha < 5$, is discussed.…
We develop a novel biased Monte-Carlo simulation technique to measure the force-extension curves and the distribution function of the extension of fluctuating filaments stretched by external force. The method is applicable for arbitrary…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
This study uses the link between extreme value laws and dynamical systems theory to show that important dynamical quantities as the correlation dimension, the entropy and the Lyapunov exponents can be obtained by fitting observables…
We study the effect of long range algebraic correlations on extreme value statistics and demonstrate that correlations can produce a limit distribution which is indistinguishable from the ubiquitous Bramwell-Holdsworth-Pinton distribution.…
We address the question of condensation and extremes for three classes of intimately related stochastic processes: (a) random allocation models and zero-range processes, (b) tied-down renewal processes, (c) free renewal processes. While for…
Extreme events are unusual and rare large-amplitude fluctuations that occur can unexpectedly in nonlinear dynamical systems. Events above the extreme event threshold of the probability distribution of a nonlinear process characterize…
Complex systems are often non-stationary, typical indicators are continuously changing statistical properties of time series. In particular, the correlations between different time series fluctuate. Models that describe the multivariate…
Extreme value statistics provides accurate estimates for the small occurrence probabilities of rare events. While theory and statistical tools for univariate extremes are well-developed, methods for high-dimensional and complex data sets…
We consider the extreme value theory of a hyperbolic toral automorphism $T: \mathbb{T}^2 \to \mathbb{T}^2$ showing that if a H\"older observation $\phi$ which is a function of a Euclidean-type distance to a non-periodic point $\zeta$ is…
Nonequilibrium complex systems are often effectively described by the mixture of different dynamics on different time scales. Superstatistics, which is "statistics of statistics" with two largely separated time scales, offers a consistent…