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Proceedings Paper

Statistics of extreme values in time series with intermediate-term correlations
Author(s): Cecilia Pennetta
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Paper Abstract

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.

Paper Details

Date Published: 15 June 2007
PDF: 8 pages
Proc. SPIE 6601, Noise and Stochastics in Complex Systems and Finance, 66010K (15 June 2007); doi: 10.1117/12.724654
Show Author Affiliations
Cecilia Pennetta, Univ. del Salento and CNISM (Italy)


Published in SPIE Proceedings Vol. 6601:
Noise and Stochastics in Complex Systems and Finance
János Kertész; Stefan Bornholdt; Rosario N. Mantegna, Editor(s)

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