Deviations from Gaussianity in deterministic discrete time dynamical systems

DOI10.1063/1.5127272MaRDI QIDQ5220491zbMATH OpenOpenAlexWikidataFDO

Authors Jeroen Wouters

Publication date 26 March 2020

Published in Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1909.04578, http://centaur.reading.ac.uk/88857/1/discrete_edgeworth.pdf

zbMATH Keywords

Edgeworth expansionslinearly damped variablenormal distribution

Mathematics Subject Classification ID

Dynamical systems and their relations with probability theory and stochastic processes (37A50) Central limit and other weak theorems (60F05) Large deviations (60F10) Gaussian processes (60G15)

Abstract: In this paper we examine the deviations from Gaussianity for two types of random variable converging to a normal distribution, namely sums of random variables generated by a deterministic discrete time map and a linearly damped variable driven by a deterministic map. We demonstrate how Edgeworth expansions provide a universal description of the deviations from the limiting normal distribution. We derive explicit expressions for these asymptotic expansions and provide numerical evidence of their accuracy.

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Cited in

(3)

• Size-independent differences between the mean of discrete stochastic systems and the corresponding continuous deterministic systems
• Different perspectives and formulas for capturing deviation from ergodicity
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