Berlin 2012 – scientific programme

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DY: Fachverband Dynamik und Statistische Physik

DY 28: Data Analysis Methods and Modelling of Geophysical Systems

DY 28.2: Talk

Thursday, March 29, 2012, 15:15–15:30, MA 144

Correlations of record events as a test for heavy-tailed distributions — •Jasper Franke, Gregor Wergen, and Joachim Krug — Institut für Theoretische Physik, Universität zu Köln, Germany

A record is an entry in a time series that is larger or smaller than all previous entries.

If the time series consists of independent, identically distributed random variables with a superimposed linear trend, record events are positively (negatively) correlated when the tail of the distribution is heavier (lighter) than exponential. Here we use these correlations to detect heavy-tailed behavior in small sets of independent random variables. The method is based on choosing ordered subsets of the data, adding a linear trend, and estimating the resulting record correlations.