849 research outputs found
A new test procedure of independence in copula models via chi-square-divergence
We introduce a new test procedure of independence in the framework of
parametric copulas with unknown marginals. The method is based essentially on
the dual representation of -divergence on signed finite measures. The
asymptotic properties of the proposed estimate and the test statistic are
studied under the null and alternative hypotheses, with simple and standard
limit distributions both when the parameter is an interior point or not.Comment: 23 pages (2 figures). Submitted to publicatio
Renormalization flow in extreme value statistics
The renormalization group transformation for extreme value statistics of
independent, identically distributed variables, recently introduced to describe
finite size effects, is presented here in terms of a partial differential
equation (PDE). This yields a flow in function space and gives rise to the
known family of Fisher-Tippett limit distributions as fixed points, together
with the universal eigenfunctions around them. The PDE turns out to handle
correctly distributions even having discontinuities. Remarkably, the PDE admits
exact solutions in terms of eigenfunctions even farther from the fixed points.
In particular, such are unstable manifolds emanating from and returning to the
Gumbel fixed point, when the running eigenvalue and the perturbation strength
parameter obey a pair of coupled ordinary differential equations. Exact
renormalization trajectories corresponding to linear combinations of
eigenfunctions can also be given, and it is shown that such are all solutions
of the PDE. Explicit formulas for some invariant manifolds in the Fr\'echet and
Weibull cases are also presented. Finally, the similarity between
renormalization flows for extreme value statistics and the central limit
problem is stressed, whence follows the equivalence of the formulas for Weibull
distributions and the moment generating function of symmetric L\'evy stable
distributions.Comment: 21 pages, 9 figures. Several typos and an upload error corrected.
Accepted for publication in JSTA
Survival Probability for Open Spherical Billiards
We study the survival probability for long times in an open spherical
billiard, extending previous work on the circular billiard. We provide details
of calculations regarding two billiard configurations, specifically a sphere
with a circular hole and a sphere with a square hole. The constant terms of the
long-term survival probability expansions have been derived analytically. Terms
that vanish in the long time limit are investigated analytically and
numerically, leading to connections with the Riemann hypothesis
Extreme events driven glassy behaviour in granular media
Motivated by recent experiments on the approach to jamming of a weakly forced
granular medium using an immersed torsion oscillator [Nature 413 (2001) 407],
we propose a simple model which relates the microscopic dynamics to macroscopic
rearrangements and accounts for the following experimental facts: (1) the
control parameter is the spatial amplitude of the perturbation and not its
reduced peak acceleration; (2) a Vogel-Fulcher-Tammann-like form for the
relaxation time. The model draws a parallel between macroscopic rearrangements
in the system and extreme events whose probability of occurrence (and thus the
typical relaxation time) is estimated using extreme-value statistics. The range
of validity of this description in terms of the control parameter is discussed
as well as the existence of other regimes.Comment: 7 pages, to appear in Europhys. Let
Generalised extreme value statistics and sum of correlated variables
We show that generalised extreme value statistics -the statistics of the k-th
largest value among a large set of random variables- can be mapped onto a
problem of random sums. This allows us to identify classes of non-identical and
(generally) correlated random variables with a sum distributed according to one
of the three (k-dependent) asymptotic distributions of extreme value
statistics, namely the Gumbel, Frechet and Weibull distributions. These
classes, as well as the limit distributions, are naturally extended to real
values of k, thus providing a clear interpretation to the onset of Gumbel
distributions with non-integer index k in the statistics of global observables.
This is one of the very few known generalisations of the central limit theorem
to non-independent random variables. Finally, in the context of a simple
physical model, we relate the index k to the ratio of the correlation length to
the system size, which remains finite in strongly correlated systems.Comment: To appear in J.Phys.
Statistics of leaders and lead changes in growing networks
We investigate various aspects of the statistics of leaders in growing
network models defined by stochastic attachment rules. The leader is the node
with highest degree at a given time (or the node which reached that degree
first if there are co-leaders). This comprehensive study includes the full
distribution of the degree of the leader, its identity, the number of
co-leaders, as well as several observables characterizing the whole history of
lead changes: number of lead changes, number of distinct leaders, lead
persistence probability. We successively consider the following network models:
uniform attachment, linear attachment (the Barabasi-Albert model), and
generalized preferential attachment with initial attractiveness.Comment: 28 pages, 14 figures, 1 tabl
Disorder induced rounding of the phase transition in the large q-state Potts model
The phase transition in the q-state Potts model with homogeneous
ferromagnetic couplings is strongly first order for large q, while is rounded
in the presence of quenched disorder. Here we study this phenomenon on
different two-dimensional lattices by using the fact that the partition
function of the model is dominated by a single diagram of the high-temperature
expansion, which is calculated by an efficient combinatorial optimization
algorithm. For a given finite sample with discrete randomness the free energy
is a pice-wise linear function of the temperature, which is rounded after
averaging, however the discontinuity of the internal energy at the transition
point (i.e. the latent heat) stays finite even in the thermodynamic limit. For
a continuous disorder, instead, the latent heat vanishes. At the phase
transition point the dominant diagram percolates and the total magnetic moment
is related to the size of the percolating cluster. Its fractal dimension is
found d_f=(5+\sqrt{5})/4 and it is independent of the type of the lattice and
the form of disorder. We argue that the critical behavior is exclusively
determined by disorder and the corresponding fixed point is the isotropic
version of the so called infinite randomness fixed point, which is realized in
random quantum spin chains. From this mapping we conjecture the values of the
critical exponents as \beta=2-d_f, \beta_s=1/2 and \nu=1.Comment: 12 pages, 12 figures, version as publishe
Correlator Bank Detection of GW chirps. False-Alarm Probability, Template Density and Thresholds: Behind and Beyond the Minimal-Match Issue
The general problem of computing the false-alarm rate vs. detection-threshold
relationship for a bank of correlators is addressed, in the context of
maximum-likelihood detection of gravitational waves, with specific reference to
chirps from coalescing binary systems. Accurate (lower-bound) approximants for
the cumulative distribution of the whole-bank supremum are deduced from a class
of Bonferroni-type inequalities. The asymptotic properties of the cumulative
distribution are obtained, in the limit where the number of correlators goes to
infinity. The validity of numerical simulations made on small-size banks is
extended to banks of any size, via a gaussian-correlation inequality. The
result is used to estimate the optimum template density, yielding the best
tradeoff between computational cost and detection efficiency, in terms of
undetected potentially observable sources at a prescribed false-alarm level,
for the simplest case of Newtonian chirps.Comment: submitted to Phys. Rev.
Partially asymmetric exclusion models with quenched disorder
We consider the one-dimensional partially asymmetric exclusion process with
random hopping rates, in which a fraction of particles (or sites) have a
preferential jumping direction against the global drift. In this case the
accumulated distance traveled by the particles, x, scales with the time, t, as
x ~ t^{1/z}, with a dynamical exponent z > 0. Using extreme value statistics
and an asymptotically exact strong disorder renormalization group method we
analytically calculate, z_{pt}, for particlewise (pt) disorder, which is argued
to be related to the dynamical exponent for sitewise (st) disorder as
z_{st}=z_{pt}/2. In the symmetric situation with zero mean drift the particle
diffusion is ultra-slow, logarithmic in time.Comment: 4 pages, 3 figure
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