Clustering of extreme events created by multiple correlated maxima

• Type: Article in International Scientific Journal
• Date: 2016

Authors

Azevedo, D (Author) Other; Ana Cristina Moreira Freitas (Author) FEP; Jorge Milhazes Freitas (Author) FCUP; Rodrigues, FB (Author) Other

Journal

Title: Physica D: Nonlinear Phenomena

Vol. 315

Pages: 33-48

ISSN: 0167-2789

Publisher: Elsevier

Indexing

ISI Web of Knowledge - 12 Citations

Scopus - 12 Citations

Other information

Authenticus ID: P-00G-W50

DOI: 10.1016/j.physd.2015.10.002

Abstract (EN): We consider stochastic processes arising from dynamical systems by evaluating an observable function along the orbits of the system. The novelty is that we will consider observables achieving a global maximum value (possible infinite) at multiple points with special emphasis for the case where these maximal points are correlated or bound by belonging to the same orbit of a certain chosen point. These multiple correlated maxima can be seen as a new mechanism creating clustering of extreme observations, i.e., the occurrence of several extreme observations concentrated in the time frame. We recall that clustering was intimately connected with periodicity when the maximum was achieved at a single point. We will study this mechanism for creating clustering and will address the existence of limiting Extreme Value Laws, the repercussions on the value of the Extremal Index, the impact on the limit of Rare Events Points Processes, the influence on clustering patterns and the competition of domains of attraction. We also consider briefly and for comparison purposes multiple uncorrelated maxima. The systems considered include expanding maps of the interval such as Rychlik maps but also maps with an indifferent fixed point such as Manneville Pomeau maps.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 16