Universal behaviour of extreme value statistics for selected observables of dynamical systems (Q425192): Difference between revisions
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scientific article
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| English | Universal behaviour of extreme value statistics for selected observables of dynamical systems |
scientific article |
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Universal behaviour of extreme value statistics for selected observables of dynamical systems (English)
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7 June 2012
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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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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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