Universal behaviour of extreme value statistics for selected observables of dynamical systems (Q425192): Difference between revisions

The authors use the peak over threshold approach to study extreme values for observables of dynamical systems. Under suitable assumptions, the limiting distribution for the exceedances of observables is a generalized Pareto distribution (GPD), where the parameters depend only on the local dimensions and the values of the threshold. The authors find that it is possible to obtain a GPD also for extremes computed in systems which do not satisfy mixing conditions.

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reviewed by

Wiesław Dziubdziela

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zbMATH Keywords

extreme value theory

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dynamical systems

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block maxima

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peak over threshold

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generalized Pareto distribution

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describes a project that uses

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Sur la distribution limite du terme maximum d'une série aléatoire

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Statistical inference using extreme order statistics

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Residual life time at great age

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An introduction to statistical modeling of extreme values

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Possible limit laws for entrance times of an ergodic aperiodic dynamical system.

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Statistics of closest return for some non-uniformly hyperbolic systems

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On the link between dependence and independence in extreme value theory for dynamical systems

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Hitting time statistics and extreme value theory

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Extreme value theory and return time statistics for dispersing billiard maps and flows, Lozi maps and Lorenz-like maps

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Numerical convergence of the block-maxima approach to the generalized extreme value distribution

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RETURN TIME STATISTICS OF INVARIANT MEASURES FOR INTERVAL MAPS WITH POSITIVE LYAPUNOV EXPONENT

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Extreme value laws in dynamical systems for non-smooth observations

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Dependence measures for extreme value analyses

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Dimension, entropy and Lyapunov exponents

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Ergodic theory of chaos and strange attractors

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The metric entropy of diffeomorphisms. I: Characterization of measures satisfying Pesin's entropy formula

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The metric entropy of diffeomorphisms. II: Relations between entropy, exponents and dimension

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Chaos in Dynamical Systems

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Q2735639

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Spot self-replication and dynamics for the Schnakenburg model in a two-dimensional domain

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Extreme value laws in dynamical systems under physical observables

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General linear response formula in statistical mechanics, and the fluctuation-dissipation theorem far from equilibrium

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A review of linear response theory for general differentiable dynamical systems

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Blended response algorithms for linear fluctuation-dissipation for complex nonlinear dynamical systems

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Identifiers

zbMATH Open document ID

1254.60050

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DOI

10.1007/s10955-012-0468-z

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:425192

@@ Property / review text @@
+The authors use the peak over threshold approach to study extreme values for observables of dynamical systems. Under suitable assumptions, the limiting distribution for the exceedances of observables is a generalized Pareto distribution (GPD), where the parameters depend only on the local dimensions and the values of the threshold. The authors find that it is possible to obtain a GPD also for extremes computed in systems which do not satisfy mixing conditions.
+Normal rank
@@ Property / reviewed by @@
+Wiesław Dziubdziela
@@ Property / reviewed by: Wiesław Dziubdziela / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G70
@@ Property / Mathematics Subject Classification ID: 60G70 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+A50
@@ Property / Mathematics Subject Classification ID: 37A50 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6043371
@@ Property / zbMATH DE Number: 6043371 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+extreme value theory
@@ Property / zbMATH Keywords: extreme value theory / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+dynamical systems
@@ Property / zbMATH Keywords: dynamical systems / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+block maxima
@@ Property / zbMATH Keywords: block maxima / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+peak over threshold
@@ Property / zbMATH Keywords: peak over threshold / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+generalized Pareto distribution
@@ Property / zbMATH Keywords: generalized Pareto distribution / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q57886206
@@ Property / Wikidata QID: Q57886206 / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+ismev
@@ Property / describes a project that uses: ismev / rank @@
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@@ Property / MaRDI profile type @@
+Publication
@@ Property / MaRDI profile type: Publication / rank @@
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@@ Property / OpenAlex ID @@
+W3098256513
@@ Property / OpenAlex ID: W3098256513 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.0176
@@ Property / arXiv ID: 1110.0176 / rank @@
+Normal rank
@@ Property / cites work @@
+Sur la distribution limite du terme maximum d'une série aléatoire
+Normal rank
@@ Property / cites work @@
+Statistical inference using extreme order statistics
+Normal rank
@@ Property / cites work @@
+Residual life time at great age
@@ Property / cites work: Residual life time at great age / rank @@
+Normal rank
@@ Property / cites work @@
+Extremes and related properties of random sequences and processes
+Normal rank
@@ Property / cites work @@
+An introduction to statistical modeling of extreme values
+Normal rank
@@ Property / cites work @@
+Possible limit laws for entrance times of an ergodic aperiodic dynamical system.
+Normal rank
@@ Property / cites work @@
+Statistics of closest return for some non-uniformly hyperbolic systems
+Normal rank
@@ Property / cites work @@
+On the link between dependence and independence in extreme value theory for dynamical systems
+Normal rank
@@ Property / cites work @@
+Hitting time statistics and extreme value theory
@@ Property / cites work: Hitting time statistics and extreme value theory / rank @@
+Normal rank
@@ Property / cites work @@
+Extreme value theory and return time statistics for dispersing billiard maps and flows, Lozi maps and Lorenz-like maps
+Normal rank
@@ Property / cites work @@
+Numerical convergence of the block-maxima approach to the generalized extreme value distribution
+Normal rank
@@ Property / cites work @@
+RETURN TIME STATISTICS OF INVARIANT MEASURES FOR INTERVAL MAPS WITH POSITIVE LYAPUNOV EXPONENT
+Normal rank
@@ Property / cites work @@
+Extreme value laws in dynamical systems for non-smooth observations
+Normal rank
@@ Property / cites work @@
+Dependence measures for extreme value analyses
@@ Property / cites work: Dependence measures for extreme value analyses / rank @@
+Normal rank
@@ Property / cites work @@
+Dimension, entropy and Lyapunov exponents
@@ Property / cites work: Dimension, entropy and Lyapunov exponents / rank @@
+Normal rank
@@ Property / cites work @@
+Ergodic theory of chaos and strange attractors
@@ Property / cites work: Ergodic theory of chaos and strange attractors / rank @@
+Normal rank
@@ Property / cites work @@
+The metric entropy of diffeomorphisms. I: Characterization of measures satisfying Pesin's entropy formula
+Normal rank
@@ Property / cites work @@
+The metric entropy of diffeomorphisms. II: Relations between entropy, exponents and dimension
+Normal rank
@@ Property / cites work @@
+Chaos in Dynamical Systems
@@ Property / cites work: Chaos in Dynamical Systems / rank @@
+Normal rank
@@ Property / cites work @@
+Q2735639
@@ Property / cites work: Q2735639 / rank @@
+Normal rank
@@ Property / cites work @@
+Spot self-replication and dynamics for the Schnakenburg model in a two-dimensional domain
+Normal rank
@@ Property / cites work @@
+Extreme value laws in dynamical systems under physical observables
+Normal rank
@@ Property / cites work @@
+General linear response formula in statistical mechanics, and the fluctuation-dissipation theorem far from equilibrium
+Normal rank
@@ Property / cites work @@
+A review of linear response theory for general differentiable dynamical systems
+Normal rank
@@ Property / cites work @@
+Blended response algorithms for linear fluctuation-dissipation for complex nonlinear dynamical systems
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:425192