Universal behaviour of extreme value statistics for selected observables of dynamical systems (Q425192): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 00:13, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Universal behaviour of extreme value statistics for selected observables of dynamical systems |
scientific article |
Statements
Universal behaviour of extreme value statistics for selected observables of dynamical systems (English)
0 references
7 June 2012
0 references
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.
0 references
extreme value theory
0 references
dynamical systems
0 references
block maxima
0 references
peak over threshold
0 references
generalized Pareto distribution
0 references
