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

extremal indexextreme value theorymarked point processmixing propertystationary stochastic processreturn time statisticsconvergence of random measures

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) 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)

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.

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• Number of visits in arbitrary sets for \(\phi\)-mixing dynamics
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• Dynamical counterexamples regarding the extremal index and the mean of the limiting cluster size distribution
• The compound Poisson limit ruling periodic extreme behaviour of non-uniformly hyperbolic dynamics

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