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arXiv 0709.3955cond-mat.stat-mechcond-mat.otherq-fin.ST
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具有中期相关性的时间序列的极值统计

Statistics of Extreme Values in Time Series with Intermediate-Term Correlations

Cecilia Pennetta

摘要:

本文将讨论具有非指数衰减的有限项相关的时间序列中极值的统计特性。准确地说,它将被认为是数值分析的结果有关的波动的电阻和缺陷分数的极端值的返回间隔显示的粒状结构的电阻器在非平衡稳态。电阻和缺陷分数计算作为时间的函数,通过蒙特卡罗模拟使用电阻器网络的方法。当波动的自关联函数呈现非指数和非幂律衰减时,极值的返回区间的分布是一个拉伸的指数,指数与阈值基本无关。最近,Bunde et al.(2003)和Altmann and Kantz(2005)在长期相关时间序列中发现了极值收益区间的拉伸指数分布。因此,目前的研究结果表明,拉伸指数分布的回报间隔是不是一个长期相关的时间序列的唯一特征。

英文摘要:

It will be discussed the statistics of the extreme values in time series characterized by finite-term correlations with non-exponential decay. Precisely, it will be considered the results of numerical analyses concerning the return intervals of extreme values of the fluctuations of resistance and defect-fraction displayed by a resistor with granular structure in a nonequilibrium stationary state. The resistance and defect-fraction are calculated as a function of time by Monte Carlo simulations using a resistor network approach. It will be shown that when the auto-correlation function of the fluctuations displays a non-exponential and non-power-law decay, the distribution of the return intervals of extreme values is a stretched exponential, with exponent largely independent of the threshold. Recently, a stretched exponential distribution of the return intervals of extreme values has been identified in long-term correlated time series by Bunde et al. (2003) and Altmann and Kantz (2005). Thus, the present results show that the stretched exponential distribution of the return intervals is not an exclusive feature of long-term correlated time series.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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