Memory effects in recurrent and extreme events.
A dynamical approach to recurrent and extreme events is developed focusing on the role of correlations and memory in the structure of the probability distributions and their low-order moments. The procedure is illustrated on homogeneous first and second order Markov chains, non-Markovian and nonhomogeneous processes and deterministic dynamical systems. Substantial differences with classical statistical theory as applied to independent identically distributed random variables are identified.
Nicolis
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Institut Royal Météorologique de Belgique, 3 Avenue Circulaire, 1180 Brussels, Belgium.
Nicolis
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D003198:Computer Simulation; D003627:Data Interpretation, Statistical; D008390:Markov Chains; D015233:Models, Statistical