Records in a changing world

DOI10.1088/1742-5468/2007/07/P07001MaRDI QIDQ5239371zbMATH OpenOpenAlexFDO

Authors Joachim Krug

Publication date 22 October 2019

Published in Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0702136

zbMATH Keywords

stochastic processesmodels for evolution (theory)slow dynamics and ageing (theory)

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05)

Abstract: In the context of this paper, a record is an entry in a sequence of random variables (RV's) that is larger or smaller than all previous entries. After a brief review of the classic theory of records, which is largely restricted to sequences of independent and identically distributed (i.i.d.) RV's, new results for sequences of independent RV's with distributions that broaden or sharpen with time are presented. In particular, we show that when the width of the distribution grows as a power law in time $n$, the mean number of records is asymptotically of order $lnn$ for distributions with a power law tail (the extit{Fr'echet class} of extremal value statistics), of order $(lnn{)}^2$ for distributions of exponential type ( extit{Gumbel class}), and of order $n^{1/(u+1)}$ for distributions of bounded support ( extit{Weibull class}), where the exponent $u$ describes the behaviour of the distribution at the upper (or lower) boundary. Simulations are presented which indicate that, in contrast to the i.i.d. case, the sequence of record breaking events is correlated in such a way that the variance of the number of records is asymptotically smaller than the mean.

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Cited in

(15)

• Records and sequences of records from random variables with a linear trend
• Scaling exponent for incremental records
• Records for the moving average of a time series
• Extreme value statistics of correlated random variables: a pedagogical review
• Records in the classical and quantum standard map
• Records
• Records from improving populations
• Record statistics of a strongly correlated time series: random walks and Lévy flights
• Extremes of 2d Coulomb gas: universal intermediate deviation regime
• Record statistics for random walks and Lévy flights with resetting
• Correlations between record events in sequences of random variables with a linear trend
• Statistics of the number of records for random walks and Lévy flights on a 1D lattice
• Universal first-passage properties of discrete-time random walks and Lévy flights on a line: statistics of the global maximum and records
• On multidimensional record patterns
• Extreme value statistics of ergodic Markov processes from first passage times in the large deviation limit

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