相关论文: Recurrence time analysis, long-term correlations, …

Study of recurrences in earthquakes, climate, financial time-series, etc. is crucial to better forecast disasters and limit their consequences. However, almost all the previous phenomenological studies involved only a long-ranged…

One of the important questions in statistical mechanics is how irreversibility (time's arrow) occurs when Newton equations of motion are time reversal invariant. One objection to irreversibility is based on Poincar\'e's recursion theorem: a…

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 have an important role which is sometime catastrophic in a variety of natural phenomena including climate, earthquakes and turbulence, as well as in man-made environments like financial markets. Statistical analysis and…

For a probability measure preserving dynamical system $(\mathcal{X},f,\mu)$, the Poincar\'e Recurrence Theorem asserts that $\mu$-almost every orbit is recurrent with respect to its initial condition. This motivates study of the statistics…

Poincar{\'e} inequalities are ubiquitous in probability and analysis and have various applications in statistics (concentration of measure, rate of convergence of Markov chains). The Poincar{\'e} constant, for which the inequality is tight,…

Thermal or finite-size scaling analyses of importance sampling Monte Carlo time series in the vicinity of phase transition points often combine different estimates for the same quantity, such as a critical exponent, with the intent to…

Recurrence plot based time series analysis is widely used to study changes and transitions in the dynamics of a system or temporal deviations from its overall dynamical regime. However, most studies do not discuss the significance of the…

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…

A mass ejection model in a time-dependent random environment with both temporal and spatial correlations is introduced. When the environment has a finite correlation length, individual particle trajectories are found to diffuse at large…

The distribution of inter-occurrence time between seismic events is a quantity of great interest in seismic risk assessment. We evaluate this distribution for different models of earthquakes occurrence and follow two distinct approaches:…

We study the statistics of the maximum and minimum of a set of $N$ random variables whose dynamical and statistical properties fall within the scope of infinite ergodic theory. These non-stationary yet recurrent systems are described, in…

In order to simulate observational and experimental situations, we consider a leak in the phase space of a chaotic dynamical system. We obtain an expression for the escape rate of the survival probability applying the theory of transient…

The Poincar\'e recurrence theorem shows that conservative systems in a bounded region of phase space eventually return arbitrarily close to their initial state after a finite amount of time. An analogous behavior occurs in certain quantum…

For an ordinary thermodynamical system the Poincar\'{e} recurrence time is exponentially large in the Boltzmann entropy of the system. It turns out, that for a system with dynamical chaos it is determined by the Kolmogorov-Sinai entropy and…

We present new measures of complexity and their application to event related potential data. The new measures base on structures of recurrence plots and makes the identification of chaos-chaos transitions possible. The application of these…

We present new estimators for the statistical analysis of the dependence of the mean gap time length between consecutive recurrent events, on a set of explanatory random variables and in the presence of right censoring. The dependence is…

We introduce a new test for detection of power-law cross-correlations among a pair of time series - the rescaled covariance test. The test is based on a power-law divergence of the covariance of the partial sums of the long-range…

Extreme value statistics, or extreme statistics for short, refers to the statistics that characterizes rare events of either unusually high or low intensity: climate disasters like floods following extremely intense rains are among the…

When a spatial process is recorded over time and the observation at a given time instant is viewed as a point in a function space, the result is a time series taking values in a Banach space. To study the spatio-temporal extremal dynamics…