Distribution of return intervals of extreme events

C. Pennetta ()

The European Physical Journal B: Condensed Matter and Complex Systems, 2006, vol. 50, issue 1, 95-98

Abstract: The distribution of return intervals of extreme events is studied in time series characterized by finite-term correlations with non-exponential decay. Precisely, it has been analyzed the statistics of the return intervals of extreme values of the resistance fluctuations displayed by resistors with granular structure in nonequilibrium stationary states. The resistance fluctuations are calculated by Monte Carlo simulations using a resistor network approach. It has been found that for highly disordered networks, when the auto-correlation function displays a non-exponential and non-power-law decay, the distribution of return intervals of the extreme values is a stretched exponential, with exponent independent of the threshold. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2006

Keywords: 05.40.-a Fluctuation phenomena; random processes; noise; and Brownian motion; 05.45.Tp Time series analysis; 02.50.-r Probability theory; stochastic processes; and statistics (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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DOI: 10.1140/epjb/e2006-00140-y

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