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

by Ms. Himani Sachdeva (TIFR)

Wednesday, November 21, 2012 from 14:30 to 15:30 (Asia/Kolkata)
at Colaba Campus ( A304 )

Description

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)