Universal and non-universal properties of recurrence intervals of rare events

Xiaojun Zhao, Pengjian Shang and Aijing Lin

Physica A: Statistical Mechanics and its Applications, 2016, vol. 448, issue C, 132-143

Abstract: This paper is devoted to the statistical analysis on the recurrence intervals of rare events that are defined above a given threshold. The memory property of original records is found to have significant effects on the distribution and the correlation structure of recurrence intervals, so that some universal and non-universal properties arise. (i) For long-range persistent records by the ARFIMA processes, where large values are likely to follow large values, the recurrence intervals yield stretched exponential distributions and further show long-range persistence. (ii) For long-range anti-persistent records by the ARFIMA processes, the recurrence intervals obey exponential distributions, also absence of autocorrelation. (iii) For short-range autocorrelated records, the distribution and the correlation structure of recurrence intervals both depend on the parameters of the model and the threshold of rare events.

Keywords: Recurrence interval; Rare event; Long-range correlation; Stretched exponential; ARFIMA (search for similar items in EconPapers)
Date: 2016
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:448:y:2016:i:c:p:132-143

DOI: 10.1016/j.physa.2015.12.082

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