Scaling exponent for incremental records

DOI10.1088/1742-5468/2013/10/P10025MaRDI QIDQ3301436zbMATH OpenFDO

Authors E. Ben-Naim

Publication date 11 August 2020

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

Full work available at URL https://arxiv.org/abs/1308.4180

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

Abstract: We investigate records in a growing sequence of identical and independently distributed random variables. The record equals the largest value in the sequence, and our focus is on the increment, defined as the difference between two successive records. We investigate sequences in which all increments decrease monotonically, and find that the fraction I_N of sequences that exhibit this property decays algebraically with sequence length N, namely I_N ~ N^{-nu} as N --> infinity. We analyze the case where the random variables are drawn from a uniform distribution with compact support, and obtain the exponent nu = 0.317621... using analytic methods. We also study the record distribution and the increment distribution. Whereas the former is a narrow distribution with an exponential tail, the latter is broad and has a power-law tail characterized by the exponent nu. Empirical analysis of records in the sequence of waiting times between successive earthquakes is consistent with the theoretical results.

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Cited in

(5)

• Records when the last point of increase is an atom
• Record statistics for random walk bridges
• Record statistics of a strongly correlated time series: random walks and Lévy flights
• Records in a changing world
• On the first positive position of a random walker

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