Related papers: Extreme value distributions for weakly correlated …
We study the distribution of the maximum of a set of random fitnesses with fixed number of mutations in a model of biological evolution. The fitness variables are not independent and the correlations can be varied via a parameter…
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…
We study the evolutionary dynamics of a maladapted population of self-replicating sequences on strongly correlated fitness landscapes. Each sequence is assumed to be composed of blocks of equal length and its fitness is given by a linear…
In this paper we perform an analytical and numerical study of Extreme Value distributions in discrete dynamical systems that have a singular measure. Using the block maxima approach described in Faranda et al. [2011] we show that,…
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…
In this paper we perform an analytical and numerical study of Extreme Value distributions in discrete dynamical systems. In this setting, recent works have shown how to get a statistics of extremes in agreement with the classical Extreme…
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…
We show that generalised extreme value statistics -the statistics of the k-th largest value among a large set of random variables- can be mapped onto a problem of random sums. This allows us to identify classes of non-identical and…
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…
We study the energy distribution of maxima and minima of a simple one-dimensional disordered Hamiltonian. We find that in systems with short range correlated disorder there is energy separation between maxima and minima, such that at fixed…
Advanced science and technology provide a wealth of big data from different sources for extreme value analysis. Classical extreme value theory was extended to obtain an accelerated max-stable distribution family for modelling competing…
Fluctuations of global additive quantities, like total energy or magnetization for instance, can in principle be described by statistics of sums of (possibly correlated) random variables. Yet, it turns out that extreme values (the largest…
We are interested in investigating the statistical properties of extreme values for strongly correlated variables. The starting motivation is to understand how the strong-correlation properties of power-law distributed processes affect the…
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…
Analysis of the rare and extreme values through statistical modeling is an important issue in economical crises, climate forecasting, and risk management of financial portfolios. Extreme value theory provides the probability models needed…
We show that all multivariate Extreme Value distributions, which are the possible weak limits of the $K$ largest order statistics of iid sequences, have the same copula, the so called K-extremal copula. This copula is described through…
We evaluate the dependence among the margins of a random vector with Multivariate Extreme Value distribution throughout the expected value of a range and relate this coefficient of dependence with the multivariate tail dependence. Its…
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…
For non-uniformly hyperbolic dynamical systems we consider the time series of maxima along typical orbits. Using ideas based upon quantitative recurrence time statistics we prove convergence of the maxima (under suitable normalization) to…
We study analytically the distribution of the minimum of a set of hierarchically correlated random variables $E_1$, $E_2$, $...$, $E_N$ where $E_i$ represents the energy of the $i$-th path of a directed polymer on a Cayley tree. If the…