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Extreme value theory for singular measures

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Lucarini, V., Faranda, D., Turchetti, G., & Vaienti, S. (2012). Extreme value theory for singular measures. CHAOS, 22(2): 023135. doi:10.1063/1.4718935.


Cite as: http://hdl.handle.net/11858/00-001M-0000-0017-C61F-7
Abstract
In this paper, we perform an analytical and numerical study of the extreme values of specific observables of dynamical systems possessing an invariant singular measure. Such observables are expressed as functions of the distance of the orbit of initial conditions with respect to a given point of the attractor. Using the block maxima approach, we show that the extremes are distributed according to the generalised extreme value distribution, where the parameters can be written as functions of the information dimension of the attractor. The numerical analysis is performed on a few low dimensional maps. For the Cantor ternary set and the Sierpinskij triangle, which can be constructed as iterated function systems, the inferred parameters show a very good agreement with the theoretical values. For strange attractors like those corresponding to the Lozi and Henon maps, a slower convergence to the generalised extreme value distribution is observed. Nevertheless, the results are in good statistical agreement with the theoretical estimates. It is apparent that the analysis of extremes allows for capturing fundamental information of the geometrical structure of the attractor of the underlying dynamical system, the basic reason being that the chosen observables act as magnifying glass in the neighborhood of the point from which the distance is computed. (C) 2012 American Institute of Physics. [http://dx.doi.org/10.1063/1.4718935]