Related papers: Return interval distribution of extreme events and…

The distribution of return intervals of extreme events is studied in time series characterized by finite-term correlations with non-exponential decay. Precisely, it has been analyzed the statistics of the return intervals of extreme values…

It will be discussed the statistics of the extreme values in time series characterized by finite-term correlations with non-exponential decay. Precisely, it will be considered the results of numerical analyses concerning the return…

The recurrence times between extreme events have been the central point of statistical analyses in many different areas of science. Simultaneously, the Poincar\'e recurrence time has been extensively used to characterize nonlinear dynamical…

An analytical study of the return time distribution of extreme events for stochastic processes with power-law correlation has been carried on. The calculation is based on an epsilon-expansion in the correlation exponent:…

We study extremal statistics and return intervals in stationary long-range correlated sequences for which the underlying probability density function is bounded and uniform. The extremal statistics we consider e.g., maximum relative to…

We study the effect on the distribution of return periods of rare events of the presence in a time series of finite-term correlations with non-exponential decay. Precisely, we analyze the auto-correlation function and the statistics of the…

Being able to predict the occurrence of extreme returns is important in financial risk management. Using the distribution of recurrence intervals---the waiting time between consecutive extremes---we show that these extreme returns are…

Having reliable estimates of the occurrence rates of extreme events is highly important for insurance companies, government agencies and the general public. The rarity of an extreme event is typically expressed through its return period,…

We investigate extreme value theory for physical systems with a global conservation law which describe renewal processes, mass transport models and long-range interacting spin models. As shown previously, a special feature is that the…

Rare events refer to qualitatively unlikely events whose realization can nevertheless have important consequences. Typically, the prediction of the kinetics of these events relies on Arrhenius laws, with exponentially distributed waiting…

To know the statistical distribution of a variable is an important problem in management of resources. Distributions of the power law type are observed in many real systems. However power law distributions have an infinite variance and thus…

In this paper we study the distribution of hitting and return times for observations of dynamical systems. We apply this results to get an exponential law for the distribution of hitting and return times for rapidly mixing random dynamical…

Power-law distributions are typical macroscopic features occurring in almost all complex systems observable in nature. As a result, researchers in quantitative analyses must often generate random synthetic variates obeying power-law…

Energy markets and the associated energy futures markets play a crucial role in global economies. We investigate the statistical properties of the recurrence intervals of daily volatility time series of four NYMEX energy futures, which are…

Extreme events can come either from point processes, when the size or energy of the events is above a certain threshold, or from time series, when the intensity of a signal surpasses a threshold value. We are particularly concerned by the…

Understanding the statistical properties of recurrence intervals of extreme events is crucial to risk assessment and management of complex systems. The probability distributions and correlations of recurrence intervals for many systems have…

We investigate the statistics of recurrences to finite size intervals for chaotic dynamical systems. We find that the typical distribution presents an exponential decay for almost all recurrence times except for a few short times affected…

The extreme event statistics plays a very important role in the theory and practice of time series analysis. The reassembly of classical theoretical results is often undermined by non-stationarity and dependence between increments.…

The Extremal Index is a parameter that measures the intensity of clustering of rare events and is usually equal to the reciprocal of the mean of the limiting cluster size distribution. We show how to build dynamically generated stochastic…

Extreme events are an important theme in various areas of science because of their typically devastating effects on society and their scientific complexities. The latter is particularly true if the underlying dynamics does not lead to…