Correlations of record events as a test for heavy-tailed distributions

by Ms Himani Sachdeva (TIFR)

Wednesday 21 Nov 2012, 14:30 → 15:30 Asia/Kolkata

A304 (Colaba Campus)

If a 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. The nature of correlations between record events can thus, be used to detect heavy-tailed behavior in small sets of independent random variables. The method consists of converting random subsets of the data into time series with a tunable linear drift and computing the resulting record correlations. References: J. Franke, G. Wergen, J. Krug, Phys. Rev. Lett. 108, 064101 (2012) G. Wergen, J. Franke, and J. Krug, J. Stat. Phys. 144, 1206 (2011)