Davide Faranda

Numerical Convergence of the Block-Maxima Approach to the Generalized Extreme Value Distribution

In this paper we perform an analytical and numerical study of Extreme Value distributions in discrete dynamical systems. In this setting, recent works have shown how to get a statistics of extremes in agreement with the classical Extreme Value Theory. We pursue these investigations by giving analytical expressions of Extreme Value distribution parameters for maps that have an absolutely continuous invariant measure. We compare these analytical results with numerical experiments in which we study the convergence to limiting distributions using the so called block-maxima approach, pointing out in which cases we obtain robust estimation of parameters. In regular maps for which mixing properties do not hold, we show that the fitting procedure to the classical Extreme Value Distribution fails, as expected. However, we obtain an empirical distribution that can be explained starting from a different observable function for which Nicolis et al. (Phys. Rev. Lett. 97(21): 210602, 2006) have found analytical results.

Extreme value theory for singular measures.

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 Hènon 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.

Extremes and Recurrence in Dynamical Systems

This book provides a comprehensive introduction for the study of extreme events in the context of dynamical systems. The introduction provides a broad overview of the interdisciplinary research area of extreme events, underlining its relevance for mathematics, natural sciences, engineering, and social sciences. After exploring the basics of the classical theory of extreme events, the book presents a careful examination of how a dynamical system can serve as a generator of stochastic processes, and explores in detail the relationship between the hitting and return time statistics of a dynamical system and the possibility of constructing extreme value laws for given observables. Explicit derivation of extreme value laws are then provided for selected dynamical systems. The book then discusses how extreme events can be used as probes for inferring fundamental dynamical and geometrical properties of a dynamical system and for providing a novel point of view in problems of physical and geophysical relevance. A final summary of the main results is then presented along with a discussion of open research questions. Finally, an appendix with software in Matlab programming language allows the readers to develop further understanding of the presented concepts.

Extreme Value Statistics for Dynamical Systems with Noise

We study the distribution of maxima (extreme value statistics) for sequences of observables computed along orbits generated by random transformations. The underlying, deterministic, dynamical system can be regular or chaotic. In the former case, we show that, by perturbing rational or irrational rotations with additive noise, an extreme value law appears, regardless of the intensity of the noise, while unperturbed rotations do not admit such limiting distributions. In the case of deterministic chaotic dynamics, we will consider observables specially designed to study the recurrence properties in the neighbourhood of periodic points. Hence, the exponential limiting law for the distribution of maxima is modified by the presence of the extremal index, a positive parameter not larger than one, whose inverse gives the average size of the clusters of extreme events. The theory predicts that such a parameter is unitary when the system is perturbed randomly. We perform sophisticated numerical tests to assess how strong the impact of noise level is when finite time series are considered. We find agreement with the asymptotic theoretical results but also non-trivial behaviour in the finite range. In particular, our results suggest that, in many applications where finite datasets can be produced or analysed, one must be careful in assuming that the smoothing nature of noise prevails over the underlying deterministic dynamics.

Universal Behaviour of Extreme Value Statistics for Selected Observables of Dynamical Systems

The main results of the extreme value theory developed for the investigation of the observables of dynamical systems rely, up to now, on the block maxima approach. In this framework, extremes are identified with the block maxima of the time series of the chosen observable, in the limit of infinitely long blocks. It has been proved that, assuming suitable mixing conditions for the underlying dynamical systems, the extremes of a specific class of observables are distributed according to the so called Generalised Extreme Value (GEV) distribution. Direct calculations show that in the case of quasi-periodic dynamics the block maxima are not distributed according to the GEV distribution. In this paper we show that considering the exceedances over a given threshold instead of the block-maxima approach it is possible to obtain a Generalised Pareto Distribution also for extremes computed in systems which do not satisfy mixing conditions. Requiring that the invariant measure locally scales with a well defined exponent—the local dimension—, we show that the limiting distribution for the exceedances of the observables previously studied with the block maxima approach is a Generalised Pareto distribution where the parameters depend only on the local dimensions and the values of the threshold but not on the number of observations considered. We also provide connections with the results obtained with the block maxima approach. In order to provide further support to our findings, we present the results of numerical experiments carried out considering the well-known Chirikov standard map.

Towards a General Theory of Extremes for Observables of Chaotic Dynamical Systems

In this paper we provide a connection between the geometrical properties of the attractor of a chaotic dynamical system and the distribution of extreme values. We show that the extremes of so-called physical observables are distributed according to the classical generalised Pareto distribution and derive explicit expressions for the scaling and the shape parameter. In particular, we derive that the shape parameter does not depend on the chosen observables, but only on the partial dimensions of the invariant measure on the stable, unstable, and neutral manifolds. The shape parameter is negative and is close to zero when high-dimensional systems are considered. This result agrees with what was derived recently using the generalized extreme value approach. Combining the results obtained using such physical observables and the properties of the extremes of distance observables, it is possible to derive estimates of the partial dimensions of the attractor along the stable and the unstable directions of the flow. Moreover, by writing the shape parameter in terms of moments of the extremes of the considered observable and by using linear response theory, we relate the sensitivity to perturbations of the shape parameter to the sensitivity of the moments, of the partial dimensions, and of the Kaplan–Yorke dimension of the attractor. Preliminary numerical investigations provide encouraging results on the applicability of the theory presented here. The results presented here do not apply for all combinations of Axiom A systems and observables, but the breakdown seems to be related to very special geometrical configurations.

On using extreme values to detect global stability thresholds in multi-stable systems: The case of transitional plane Couette flow

Abstract Extreme Value Theory (EVT) is exploited to determine the global stability threshold R g of plane Couette flow – the flow of a viscous fluid in the space between two parallel plates – whose laminar or turbulent behavior depends on the Reynolds number R. Even if the existence of a global stability threshold has been detected in simulations and experiments, its numerical value has not been unequivocally defined. R g is the value such that for R > R g , turbulence is sustained, whereas for R R g it is transient and eventually decays. We address the problem of determining R g by using the extremes – maxima and minima – of the perturbation energy fluctuations. When R ≫ R g , both the positive and negative extremes are bounded. As the critical Reynolds number is approached from above, the probability of observing a very low minimum increases causing asymmetries in the distributions of maxima and minima. On the other hand, the maxima distribution is unaffected as the fluctuations towards higher values of the perturbation energy remain bounded. This tipping point can be detected by fitting the data to the Generalized Extreme Value (GEV) distribution and by identifying R g as the value of R such that the shape parameter of the GEV for the minima changes sign from negative to positive. The results are supported by the analysis of theoretical models which feature a bistable behavior.

A recurrence‐based technique for detecting genuine extremes in instrumental temperature records

In this paper, we analyze several instrumental records of temperatures at different locations by using new techniques originally developed for the analysis of extreme values of dynamical systems. We show that they have the same recurrence time statistics as a chaotic dynamical system perturbed with dynamical noise and by instrument errors. The technique provides a criterion to discriminate whether the recurrence of a certain temperature belongs to the normal variability or can be considered as a genuine extreme event with respect to a specific timescale fixed as parameter. The method gives a self-consistent estimation of the convergence of the statistics of recurrences toward the theoretical extreme value laws.

GENERALIZED EXTREME VALUE DISTRIBUTION PARAMETERS AS DYNAMICAL INDICATORS OF STABILITY

We introduce a new dynamical indicator of stability based on the Extreme Value statistics showing that it provides an insight into the local stability properties of dynamical systems. The indicator performs faster than others based on the iteration of the tangent map since it requires only the evolution of the original systems and, in the chaotic regions, gives further information about the local information dimension of the attractor. A numerical validation of the method is presented through the analysis of the motions in the Standard map.

Dynamical proxies of North Atlantic predictability and extremes

Atmospheric flows are characterized by chaotic dynamics and recurring large-scale patterns. These two characteristics point to the existence of an atmospheric attractor defined by Lorenz as: “the collection of all states that the system can assume or approach again and again, as opposed to those that it will ultimately avoid”. The average dimension D of the attractor corresponds to the number of degrees of freedom sufficient to describe the atmospheric circulation. However, obtaining reliable estimates of D has proved challenging. Moreover, D does not provide information on transient atmospheric motions, such as those leading to weather extremes. Using recent developments in dynamical systems theory, we show that such motions can be classified through instantaneous rather than average properties of the attractor. The instantaneous properties are uniquely determined by instantaneous dimension and stability. Their extreme values correspond to specific atmospheric patterns, and match extreme weather occurrences. We further show the existence of a significant correlation between the time series of instantaneous stability and dimension and the mean spread of sea-level pressure fields in an operational ensemble weather forecast at lead times of over two weeks. Instantaneous properties of the attractor therefore provide an efficient way of evaluating and informing operational weather forecasts.