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Article Dans Une Revue Nonlinearity Année : 2013

Extreme Value Statistics for Dynamical Systems with Noise

Résumé

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.

Dates et versions

hal-01126656 , version 1 (06-03-2015)

Identifiants

Citer

Davide Faranda, Jorge Milhazes Freitas, Valerio Lucarini, Giorgio Turchetti, S. Vaienti. Extreme Value Statistics for Dynamical Systems with Noise. Nonlinearity, 2013, 26 (9), pp.2597-2622. ⟨10.1088/0951-7715/26/9/2597⟩. ⟨hal-01126656⟩
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