Extreme value statistics for dynamical systems with noise

DOI10.1088/0951-7715/26/9/2597MaRDI QIDQ2852524zbMATH OpenOpenAlexWikidataFDO

Authors Davide Faranda, Jorge Milhazes Freitas, Valerio Lucarini, Giorgio Turchetti, Sandro Vaienti

Publication date 9 October 2013

Published in Nonlinearity (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1208.5582, http://centaur.reading.ac.uk/71523/1/FFLTV.pdf

zbMATH Keywords

extreme value statisticsnoisenumerical testrecurrence property

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) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70)

Abstract: We study the distribution of maxima (Extreme Value Statistics) for sequences of observables computed along orbits generated by random transformations. The underlying, deterministic, dynamical system can be regular or chaotic. In the former case, we will show that by perturbing rational or irrational rotations with additive noise, an extreme value law appears, regardless of the intensity of the noise, while unperturbed rotations do not admit such limiting distributions. In the case of deterministic chaotic dynamics, we will consider observables specially designed to study the recurrence properties in the neighbourhood of periodic points. Hence, the exponential limiting law for the distribution of maxima is modified by the presence of the extremal index, a positive parameter not larger than one, whose inverse gives the average size of the clusters of extreme events. The theory predicts that such a parameter is unitary when the system is perturbed randomly. We perform sophisticated numerical tests to assess how strong is the impact of noise level, when finite time series are considered. We find agreement with the asymptotic theoretical results but also non-trivial behaviour in the finite range. In particular our results suggest that in many applications where finite datasets can be produced or analysed one must be careful in assuming that the smoothing nature of noise prevails over the underlying deterministic dynamics.

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Cited in

(12)

• Extreme value theory for piecewise contracting maps with randomly applied stochastic perturbations
• Extreme value laws for dynamical systems under observational noise
• Extreme value statistics for deterministic dynamical systems
• GLOBAL FLUCTUATIONS IN PHYSICAL SYSTEMS: A SUBTLE INTERPLAY BETWEEN SUM AND EXTREME VALUE STATISTICS
• Correlation dimension and phase space contraction via extreme value theory
• GENERALIZED EXTREME VALUE DISTRIBUTION PARAMETERS AS DYNAMICAL INDICATORS OF STABILITY
• Extremes and extremal indices for level set observables on hyperbolic systems
• Dynamical systems approaches to the study of climate with applications to 2022 extreme weather events
• A logarithm law for non-autonomous systems rapidly converging to equilibrium and mean field coupled systems
• Sampling local properties of attractors via extreme value theory
• On the computation of the extremal index for time series
• Sampling hyperspheres via extreme value theory: implications for measuring attractor dimensions

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