Extreme value statistics for dynamical systems with noise

Faranda, D., Freitas, J. M., Lucarini, V. ORCID: https://orcid.org/0000-0001-9392-1471, Turchetti, G. and Vaienti, S. (2013) Extreme value statistics for dynamical systems with noise. Nonlinearity, 26 (9). pp. 2597-2622. ISSN 1361-6544 doi: 10.1088/0951-7715/26/9/2597

Abstract/Summary

We study the distribution of maxima ( extreme value statistics ) for sequences of observables computed along orbits generated by random transformations. The underlying, deterministic, dynamical system can be regular or chaotic. In the former case, we show that, by perturbing rational or irrational rotations with additive noise, an extreme value law appears, regardless of the intensity of the noise, while unperturbed rotations do not admit such limiting distributions. In the case of deterministic chaotic dynamics, we will consider observables specially designed to study the recurrence properties in the neighbourhood of periodic points. Hence, the exponential limiting law for the distribution of maxima is modified by the presence of the extremal index , a positive parameter not larger than one, whose inverse gives the average size of the clusters of extreme events. The theory predicts that such a parameter is unitary when the system is perturbed randomly. We perform sophisticated numerical tests to assess how strong the impact of noise level is when finite time series are considered. We find agreement with the asymptotic theoretical results but also non-trivial behaviour in the finite range. In particular, our results suggest that, in many applications where finite datasets can be produced or analysed, one must be careful in assuming that the smoothing nature of noise prevails over the underlying deterministic dynamics.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/71523
Item Type	Article
Refereed	Yes
Divisions	Science > School of Mathematical, Physical and Computational Sciences > Department of Mathematics and Statistics
Publisher	Institute of Physics
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