相关论文: Distribution of Return Intervals of Extreme Events

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…

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…

The distribution of recurrence times or return intervals between extreme events is important to characterize and understand the behavior of physical systems and phenomena in many disciplines. It is well known that many physical processes in…

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…

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:…

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…

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,…

It is well known that the distribution of extreme values of strictly stationary sequences differ from those of independent and identically distributed sequences in that extremal clustering may occur. Here we consider non-stationary but…

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…

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…

In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) tail behavior of probability density function associated with…

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.…

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…

We study fluctuations in diffusion-limited reaction systems driven out of their stationary state. Using a numerically exact method, we investigate fluctuation ratios in various systems which differ by their level of violation of microscopic…

We study analytically and numerically the extreme value distribution of observables defined along the temporal evolution of a dynamical system. The convergence to the Gumbel law of observable recurrences gives information on the fractal…

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…

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…

We consider renewal processes where events, which can for instance be the zero crossings of a stochastic process, occur at random epochs of time. The intervals of time between events, $\tau_{1},\tau_{2},...$, are independent and identically…

We argue that the transition to turbulence is controlled by large amplitude events that follow extreme distribution theory. The theory suggests an explanation for recent observations of the turbulent state lifetime which exhibit…