Universal behaviour of extreme value statistics for selected observables of dynamical systems
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Publication:425192
DOI10.1007/S10955-012-0468-ZzbMATH Open1254.60050arXiv1110.0176OpenAlexW3098256513WikidataQ57886206 ScholiaQ57886206MaRDI QIDQ425192FDOQ425192
Authors: Valerio Lucarini, Davide Faranda, Jeroen Wouters 
Publication date: 7 June 2012
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Abstract: The main results of the extreme value theory developed for the investigation of the observables of dynamical systems rely, up to now, on the Gnedenko approach. In this framework, extremes are basically identified with the block maxima of the time series of the chosen observable, in the limit of infinitely long blocks. It has been proved that, assuming suitable mixing conditions for the underlying dynamical systems, the extremes of a specific class of observables are distributed according to the so called Generalized Extreme Value (GEV) distribution. Direct calculations show that in the case of quasi-periodic dynamics the block maxima are not distributed according to the GEV distribution. In this paper we show that, in order to obtain a universal behaviour of the extremes, the requirement of a mixing dynamics can be relaxed if the Pareto approach is used, based upon considering the exceedances over a given threshold. Requiring that the invariant measure locally scales with a well defined exponent - the local dimension -, we show that the limiting distribution for the exceedances of the observables previously studied with the Gnedenko approach is a Generalized Pareto distribution where the parameters depends only on the local dimensions and the value of the threshold. This result allows to extend the extreme value theory for dynamical systems to the case of regular motions. We also provide connections with the results obtained with the Gnedenko approach. In order to provide further support to our findings, we present the results of numerical experiments carried out considering the well-known Chirikov standard map.
Full work available at URL: https://arxiv.org/abs/1110.0176
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Extreme value theory; extremal stochastic processes (60G70) Dynamical systems and their relations with probability theory and stochastic processes (37A50)
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Cited In (18)
- Extreme value laws in dynamical systems under physical observables
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- Sampling hyperspheres via extreme value theory: implications for measuring attractor dimensions
- Rare events for the Manneville-Pomeau map
- Extremal behaviour of chaotic dynamics
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- The compound Poisson limit ruling periodic extreme behaviour of non-uniformly hyperbolic dynamics
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