Order statistics of 1/f^{\alpha} signals

Order statistics of periodic, Gaussian noise with 1/f^{\alpha} power spectrum is investigated. Using simulations and phenomenological arguments, we find three scaling regimes for the average gap d_k= between the k-th and (k+1)-st largest values of the signal. The result d_k ~ 1/k known for independent, identically distributed variables remains valid for 0<\alpha<1. Nontrivial, \alpha-dependent scaling exponents d_k ~ k^{(\alpha -3)/2} emerge for 1<\alpha<5 and, finally, \alpha-independent scaling, d_k ~ k is obtained for \alpha>5. The spectra of average ordered values \epsilon_k= ~ k^{\beta} is also examined. The exponent {\beta} is derived from the gap scaling as well as by relating \epsilon_k to the density of near extreme states. Known results for the density of near extreme states combined with scaling suggest that \beta(\alpha=2)=1/2, \beta(4)=3/2, and beta(infinity)=2 are exact values. We also show that parallels can be drawn between \epsilon_k and the quantum mechanical spectra of a particle in power-law potentials.Comment: 8 pages, 5 figure

Origin of the approximate universality of distributions in equilibrium correlated systems

We propose an interpretation of previous experimental and numerical experiments, showing that for a large class of systems, distributions of global quantities are similar to a distribution originally obtained for the magnetization in the 2D-XY model . This approach, developed for the Ising model, is based on previous numerical observations. We obtain an effective action using a perturbative method, which successfully describes the order parameter fluctuations near the phase transition. This leads to a direct link between the D-dimensional Ising model and the XY model in the same dimension, which appears to be a generic feature of many equilibrium critical systems and which is at the heart of the above observations.Comment: To appear in Europhysics Letter

The dependence of solar wind burst size on burst duration and its invariance across solar cycles 23 and 24

Time series of solar wind variables are “bursty” in nature. Bursts, or excursions, in the time series of solar wind parameters are associated with various transient structures in the solar wind plasma, and are often the drivers of increased space weather activity in Earth's magnetosphere. We define bursts by setting a threshold value of the time series and identifying how often, and for how long, it is exceeded. This allows us to study how the statistical distributions and scaling properties of burst parameters vary over solar cycles 23 and 24. We find the distributions of burst duration and integrated burst size vary over the solar cycle, and between the equivalent phases of consecutive cycles. However, there exists a single power law scaling relation between burst size and duration, with a joint area‐duration scaling exponent α that is independent of the solar cycle. This provides a solar cycle invariant constraint between possible sizes and durations of solar wind bursts that can occur

Ginzburg-Landau equation bound to the metal-dielectric interface and transverse nonlinear optics with amplified plasmon polaritons

Using a multiple-scale asymptotic approach, we have derived the complex cubic Ginzburg-Landau equation for amplified and nonlinearly saturated surface plasmon polaritons propagating and diffracting along a metal-dielectric interface. An important feature of our method is that it explicitly accounts for nonlinear terms in the boundary conditions, which are critical for a correct description of nonlinear surface waves. Using our model we have analyzed filamentation and discussed bright and dark spatially localized structures of plasmons.Comment: http://link.aps.org/doi/10.1103/PhysRevA.81.03385

Extreme value statistics and return intervals in long-range correlated uniform deviates

We study extremal statistics and return intervals in stationary long-range correlated sequences for which the underlying probability density function is bounded and uniform. The extremal statistics we consider e.g., maximum relative to minimum are such that the reference point from which the maximum is measured is itself a random quantity. We analytically calculate the limiting distributions for independent and identically distributed random variables, and use these as a reference point for correlated cases. The distributions are different from that of the maximum itself i.e., a Weibull distribution, reflecting the fact that the distribution of the reference point either dominates over or convolves with the distribution of the maximum. The functional form of the limiting distributions is unaffected by correlations, although the convergence is slower. We show that our findings can be directly generalized to a wide class of stochastic processes. We also analyze return interval distributions, and compare them to recent conjectures of their functional form

Extreme statistics for time series: Distribution of the maximum relative to the initial value

The extreme statistics of time signals is studied when the maximum is measured from the initial value. In the case of independent, identically distributed (iid) variables, we classify the limiting distribution of the maximum according to the properties of the parent distribution from which the variables are drawn. Then we turn to correlated periodic Gaussian signals with a 1/f^alpha power spectrum and study the distribution of the maximum relative height with respect to the initial height (MRH_I). The exact MRH_I distribution is derived for alpha=0 (iid variables), alpha=2 (random walk), alpha=4 (random acceleration), and alpha=infinity (single sinusoidal mode). For other, intermediate values of alpha, the distribution is determined from simulations. We find that the MRH_I distribution is markedly different from the previously studied distribution of the maximum height relative to the average height for all alpha. The two main distinguishing features of the MRH_I distribution are the much larger weight for small relative heights and the divergence at zero height for alpha>3. We also demonstrate that the boundary conditions affect the shape of the distribution by presenting exact results for some non-periodic boundary conditions. Finally, we show that, for signals arising from time-translationally invariant distributions, the density of near extreme states is the same as the MRH_I distribution. This is used in developing a scaling theory for the threshold singularities of the two distributions.Comment: 29 pages, 4 figure

Negative diffraction pattern dynamics in nonlinear cavities with left-handed materials

We study a ring cavity filled with a slab of a right-handed material and a slab of a left-handed material. Both layers are assumed to be nonlinear Kerr media. First, we derive a model for the propagation of light in a left-handed material. By constructing a mean-field model, we show that the sign of diffraction can be made either positive or negative in this resonator, depending on the thicknesses of the layers. Subsequently, we demonstrate that the dynamical behavior of the modulation instability is strongly affected by the sign of the diffraction coefficient. Finally, we study the dissipative structures in this resonator and reveal the predominance of a two-dimensional up-switching process over the formation of spatially periodic structures, leading to the truncation of the homogeneous hysteresis cycle.Comment: 8 pages, 5 figure

Renormalization group theory for finite-size scaling in extreme statistics

We present a renormalization group (RG) approach to explain universal features of extreme statistics, applied here to independent, identically distributed variables. The outlines of the theory have been described in a previous Letter, the main result being that finite-size shape corrections to the limit distribution can be obtained from a linearization of the RG transformation near a fixed point, leading to the computation of stable perturbations as eigenfunctions. Here we show details of the RG theory which exhibit remarkable similarities to the RG known in statistical physics. Besides the fixed points explaining universality, and the least stable eigendirections accounting for convergence rates and shape corrections, the similarities include marginally stable perturbations which turn out to be generic for the Fisher-Tippett-Gumbel class. Distribution functions containing unstable perturbations are also considered. We find that, after a transitory divergence, they return to the universal fixed line at the same or at a different point depending on the type of perturbation.Comment: 15 pages, 8 figures, to appear in Phys. Rev.

Maximal height statistics for 1/f^alpha signals

Numerical and analytical results are presented for the maximal relative height distribution of stationary periodic Gaussian signals (one dimensional interfaces) displaying a 1/f^alpha power spectrum. For 0<alpha<1 (regime of decaying correlations), we observe that the mathematically established limiting distribution (Fisher-Tippett-Gumbel distribution) is approached extremely slowly as the sample size increases. The convergence is rapid for alpha>1 (regime of strong correlations) and a highly accurate picture gallery of distribution functions can be constructed numerically. Analytical results can be obtained in the limit alpha -> infinity and, for large alpha, by perturbation expansion. Furthermore, using path integral techniques we derive a trace formula for the distribution function, valid for alpha=2n even integer. From the latter we extract the small argument asymptote of the distribution function whose analytic continuation to arbitrary alpha > 1 is found to be in agreement with simulations. Comparison of the extreme and roughness statistics of the interfaces reveals similarities in both the small and large argument asymptotes of the distribution functions.Comment: 17 pages, 8 figures, RevTex

Variation of Geomagnetic Index Empirical Distribution and Burst Statistics Across Successive Solar Cycles

The overall level of solar activity, and space weather response at Earth, varies within and between successive solar cycles and can be characterized by the statistics of bursts, i.e., time series excursions above a threshold. We consider nonoverlapping 1‐year samples of the auroral electrojet index (AE) and the SuperMAG‐based ring current index (SMR), across the last four solar cycles. These indices, respectively, characterize high latitude and equatorial geomagnetic disturbances. We suggest that average burst duration τ ̄ $\bar{\tau }$ and burst return period R ̄ $\bar{R}$ form an activity parameter, τ ̄ / R ̄ $\bar{\tau }/\bar{R}$ which characterizes the fraction of time the magnetosphere spends, on average, in an active state for a given burst threshold. If the burst threshold takes a fixed value, τ ̄ / R ̄ $\bar{\tau }/\bar{R}$ for SMR tracks sunspot number, while τ ̄ / R ̄ $\bar{\tau }/\bar{R}$ for AE peaks in the solar cycle declining phase. Level crossing theory directly relates τ ̄ / R ̄ $\bar{\tau }/\bar{R}$ to the observed index value cumulative distribution function (cdf). For burst thresholds at fixed quantiles, we find that the probability density functions of τ and R each collapse onto single empirical curves for AE at solar cycle minimum, maximum, and declining phase and for (−)SMR at solar maximum. Moreover, underlying empirical cdf tails of observed index values collapse onto common functional forms specific to each index and cycle phase when normalized to their first two moments. Together, these results offer operational support to quantifying space weather risk which requires understanding how return periods of events of a given size vary with solar cycle strength