The extremal index, hitting time statistics and periodicity
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Publication:715212
DOI10.1016/J.AIM.2012.07.029zbMATH Open1310.60064arXiv1008.1350OpenAlexW1977911991WikidataQ105583551 ScholiaQ105583551MaRDI QIDQ715212FDOQ715212
Mike Todd, Ana Cristina Moreira Freitas, Jorge Milhazes Freitas
Publication date: 2 November 2012
Published in: Advances in Mathematics (Search for Journal in Brave)
Abstract: We give conditions to prove the existence of an Extremal Index for general stationary stochastic processes by detecting the presence of one or more underlying periodic phenomena. This theory, besides giving general useful tools to identify the extremal index, is also tailored to dynamical systems. In fact, we apply this idea to analyse the possible Extreme Value Laws for the stochastic process generated by observations taken along dynamical orbits with respect to various measures. As in the authors' previous works on this topic, the analogy of these laws in the context of hitting time statistics is explained and exploited extensively.
Full work available at URL: https://arxiv.org/abs/1008.1350
Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Notions of recurrence and recurrent behavior in topological dynamical systems (37B20) Fixed points and periodic points of dynamical systems; fixed-point index theory; local dynamics (37C25)
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