dorsal/arxiv
View SchemaDistribution of Return Periods of Rare Events in Correlated Time Series
| Authors | Cecilia Pennetta, Eleonora Alfinito |
|---|---|
| Categories | |
| ArXiv ID | physics/0509037 |
| URL | https://arxiv.org/abs/physics/0509037 |
| DOI | 10.1063/1.2138666 |
Abstract
We study the effect on the distribution of return periods of rare events of the presence in a time series of finite-term correlations with non-exponential decay. Precisely, we analyze the auto-correlation function and the statistics of the return intervals of extreme values of the resistance fluctuations displayed by a resistor with granular structure in a nonequilibrium stationary state. The resistance fluctuations, $\delta R$, are calculated by Monte Carlo simulations using the SBRN model introduced some years ago by Pennetta, Tref\'an and Reggiani and based on a resistor network approach. A rare event occurs when $\delta R$ overcomes a threshold value $q$ significantly higher than the average value of the resistance. We have found that for highly disordered networks, when the auto-correlation function displays a non-exponential decay but yet the resistance fluctuations are characterized by a finite correlation time, the distribution of return intervals of the extreme values is well described by a stretched exponential, with exponent largely independent of the threshold $q$. We discuss this result and some of the main open questions related to it, also in connection with very recent findings by other authors concerning the observation of stretched exponential distributions of return intervals of extreme events in long-term correlated time series.
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"abstract": "We study the effect on the distribution of return periods of rare events of\nthe presence in a time series of finite-term correlations with non-exponential\ndecay. Precisely, we analyze the auto-correlation function and the statistics\nof the return intervals of extreme values of the resistance fluctuations\ndisplayed by a resistor with granular structure in a nonequilibrium stationary\nstate. The resistance fluctuations, $\\delta R$, are calculated by Monte Carlo\nsimulations using the SBRN model introduced some years ago by Pennetta,\nTref\\\u0027an and Reggiani and based on a resistor network approach. A rare event\noccurs when $\\delta R$ overcomes a threshold value $q$ significantly higher\nthan the average value of the resistance. We have found that for highly\ndisordered networks, when the auto-correlation function displays a\nnon-exponential decay but yet the resistance fluctuations are characterized by\na finite correlation time, the distribution of return intervals of the extreme\nvalues is well described by a stretched exponential, with exponent largely\nindependent of the threshold $q$. We discuss this result and some of the main\nopen questions related to it, also in connection with very recent findings by\nother authors concerning the observation of stretched exponential distributions\nof return intervals of extreme events in long-term correlated time series.",
"arxiv_id": "physics/0509037",
"authors": [
"Cecilia Pennetta",
"Eleonora Alfinito"
],
"categories": [
"physics.data-an",
"physics.comp-ph"
],
"doi": "10.1063/1.2138666",
"title": "Distribution of Return Periods of Rare Events in Correlated Time Series",
"url": "https://arxiv.org/abs/physics/0509037"
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