Convergence of marked point processes of excesses for dynamical systems

DOI10.4171/JEMS/808MaRDI QIDQ1783998zbMATH OpenWikidataFDO

Authors Ana Cristina Moreira Freitas, Jorge Milhazes Freitas, Mário Alexandre Magalhães

Publication date 21 September 2018

Published in Journal of the European Mathematical Society (JEMS) (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.00599

zbMATH Keywords

convergence of random measuresextremal indexextreme value theorymarked point processmixing propertyreturn time statisticsstationary stochastic process

Mathematics Subject Classification ID

Ergodicity, mixing, rates of mixing (37A25) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Notions of recurrence and recurrent behavior in topological dynamical systems (37B20) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70)

Abstract: We consider stochastic processes arising from dynamical systems simply by evaluating an observable function along the orbits of the system and study marked point processes associated to extremal observations of such time series corresponding to exceedances of high thresholds. Each exceedance is marked by a quantity intended to measure the severity of the exceedance. In particular, we consider marked point processes measuring the aggregate damage by adding all the excesses over the threshold that mark each exceedance (AOT) or simply by adding the largest excesses in a cluster of exceedances (POT). We provide conditions to prove the convergence of such marked point processes to a compound Poisson process, for whose multiplicity distribution we give an explicit formula. These conditions are shown to follow from a strong form of decay of correlations of the system. Moreover, we prove that the convergence of the marked point processes for a `nice' first return induced map can be carried to the original system. The systems considered include non-uniformly expanding maps (in one or higher dimensions), maps with intermittent fixed points or non-recurrent critical points. For a general class of examples, the compound Poisson limit process is computed explicitly and, in particular, in the POT case we obtain a generalised Pareto multiplicity distribution.

Review text

Let \((\mathcal{M},\mathcal{B}, \mathbb{P},f)\) be a dynamical system on a Riemannian manifold \(\mathcal{M}\). Any observable \(\varphi : \mathcal{M}\to \overline{\mathbb{R}}\) gives rise to a stationary process \((X_n:=\varphi\circ f^n)\). Fix thresholds \((u_n)\) such that \(\lim_{n\to\infty} n\mathbb{P}(X_0>u_n) = \tau >0\). For any Borel set \(B\in\mathcal{B}\) and \(x\in \mathcal{M}\), denote by \(r_B(x)\) the return time of \(f^n(x)\) into \(B\), and define the \(j\)-th inter-hitting time by \(w^1_B=r_B\) and \(w_B^j(x) := r_B\Big(f^{\sum_{i=1}^{j-1}w_B^i(x)}(x)\Big)\); so that the \(j\)-th hitting time is \(r^j_B = \sum_{i=1}^{j}w_B^i\). The authors are interested in counting exceeding events, such as the following examples: for any time interval \(I\subset \mathbb{N}^*\) and threshold \(u\), \[ m_u\big\{X_j, j\in I \big\} := \text{ either }\sum_{j\in I}(X_j-u)^+,\text{ or }\max_{j\in I}(X_j-u)^+,\text{ or }\sum_{j\in I}1_{\{X_j>u\}}. \] But actually, they intend to consider such events as aggregated in clusters. These clusters are defined as subsequences of successive exceeding events which are separated by inter-hitting times less than some given \(p\). Thus, if \(I_1,\ldots,I_N\) denote the successive \(p\)-clusters within \(I\), the authors preferably consider \[ \mathcal{A}_u(I) := \sum_{j=1}^N m_u\big\{X_j, j\in I_j \big\}. \] Among the three examples above, aggregating by clusters only modifies the second one. In order to get a limit law, they dilate the observation intervals by \(v_n:=\mathbb{P}(X_0>u_n)^{-1}\), and then actually consider \(A_n\Big(\sqcup_{i=1}^k J_i\Big) := \sum_{i=1}^k \mathcal{A}_{u_n}(v_nJ_i)\), for any disjoint union of intervals \(J_1,\ldots,J_k\). Then the authors make some hypotheses, more or less technical, in order to force the clusters, of convenient maximal inter-times \(p\), to have some mean size \(\theta^{-1}\) and to have a small enough probability to be too long, and to be separated by \(p\)-clusters-inter-times going (after renormalization by some deterministic sequence \(a_n\)) to some law \(\mu\). Furthermore, they suppose that the dynamical system under study satisfies some mixing properties. Then their main result is the convergence in law of the ``marked point process of rare events \(a_nA_n\), towards a compound Poisson point process \(\sum_{n\in\mathbb{N}^*}\kappa_n1_{\{S_n\leq t\}}\) with intensity \(\theta\) and multiplicity law (law of the i.i.d. sequence \(\{\kappa_n\}\)) \(\mu\). Moreover the authors show that their mixing (rather technical) assumptions follow from some convenient decay-of-correlations condition.

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• Number of visits in arbitrary sets for -mixing dynamics
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