相关论文: Universal fluctuations and extreme value statistic…
We study the asymptotic properties of fracture strength distributions of disordered elastic media by a combination of renormalization group, extreme value theory, and numerical simulation. We investigate the validity of the `weakest-link…
We investigate the probability distribution of Chern numbers (quantum Hall effect integers) for a parametric version of the GUE random matrix ensemble, which is a model for a chaotic or disordered system. The numerically-calculated…
We investigate the extreme value statistics connected with the dilute Random Energy Model with integer couplings. New universality class is found.
In this paper, we study high-dimensional random projections of $\ell_p^n$-balls. More precisely, for any $n\in\mathbb N$ let $E_n$ be a random subspace of dimension $k_n\in\{1,\ldots,n\}$ and $X_n$ be a random point in the unit ball of…
Refraction of a Longuet-Higgins Gaussian sea by random ocean currents creates persistent local variations in average energy and wave action. These variations take the form of lumps or streaks, and they explicitly survive dispersion over…
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using…
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…
I propose a new procedure to estimate the False Alarm Probability, the measure of significance for peaks of periodograms. The key element of the new procedure is the use of generalized extreme-value distributions, the limiting distribution…
Complex systems consist of many interacting elements which participate in some dynamical process. The activity of various elements is often different and the fluctuation in the activity of an element grows monotonically with the average…
Recently attention has been drawn to practical problems with the use of unbounded Pareto distributions, for instance when there are natural upper bounds that truncate the probability tail. Aban, Meerschaert and Panorska (2006) derived 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…
Extreme value theory has constructed asymptotic properties of the sample maximum. This study concerns probability distribution estimation of the sample maximum. The traditional approach is parametric fitting to the limiting distribution --…
We consider the single eigenvalue fluctuations of random matrices of general Wigner-type, under a one-cut assumption on the density of states. For eigenvalues in the bulk, we prove that the asymptotic fluctuations of a single eigenvalue…
We derive some physical properties of ideal assemblies of identical particles obeying generalized exclusion statistics. We discuss fluctuations, and in this connection point out a fundamental contrast to conventional quantum statistics. We…
Under certain conditions on k we calculate the limit distribution of the k:th largest eigenvalue, x_k, of the Gaussian Unitary Ensemble (GUE). More specifically, if n is the dimension of a random matrix from the GUE and k is such that both…
The rate of uniform convergence in extreme value statistics is non-universal and can be arbitrarily slow. Further, the relative error can be unbounded in the tail of the approximation, leading to difficulty in extrapolating the extreme…
We study the effects of thermal fluctuations on elastic rings. Analytical expressions are derived for correlation functions of Euler angles, mean square distance between points on the ring contour, radius of gyration, and probability…
We introduce a consistent estimator of the extreme value index under random truncation based on a single sample fraction of top observations from truncated and truncation data. We establish the asymptotic normality of the proposed estimator…
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…
We review the consequences of intrinsic, nonstatistical temperature fluctuations as seen in observables measured in high energy collisions. We do this from the point of view of nonextensive statistics and Tsallis distributions. Particular…