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Jorge Milhazes Freitas

Publications and source records attributed to Jorge Milhazes Freitas.

34 records · Page 2Linked to original sources

Clustering of extreme events created by multiple correlated maxima

We consider stochastic processes arising from dynamical systems by evaluating an observable function along the orbits of the system. The novelty is that we will consider observables achieving a global maximum value (possible infinite) at multiple points with special emphasis for the case where these maximal points are correlated or bound by belonging to the same orbit of a certain chosen point. These multiple correlated maxima can be seen as a new mechanism creating clustering. We recall that clustering was intimately connected with periodicity when the maximum was achieved at a single point. We will study this mechanism for creating clustering and will address the existence of limiting Extreme Value Laws, the repercussions on the value of the Extremal Index, the impact on the limit of Rare Events Points Processes, the influence on clustering patterns and the competition of domains of attraction. We also consider briefly and for comparison purposes multiple uncorrelated maxima. The systems considered include expanding maps of the interval such as Rychlik maps but also maps with an indifferent fixed point such as Manneville-Pommeau maps.

math.DS↗

Extremal dichotomy for uniformly hyperbolic systems

We consider the extreme value theory of a hyperbolic toral automorphism $T: \mathbb{T}^2 \to \mathbb{T}^2$ showing that if a Hölder observation $ϕ$ which is a function of a Euclidean-type distance to a non-periodic point $ζ$ is strictly maximized at $ζ$ then the corresponding time series $\{ϕ\circ T^i\}$ exhibits extreme value statistics corresponding to an iid sequence of random variables with the same distribution function as $ϕ$ and with extremal index one. If however $ϕ$ is strictly maximized at a periodic point $q$ then the corresponding time-series exhibits extreme value statistics corresponding to an iid sequence of random variables with the same distribution function as $ϕ$ but with extremal index not equal to one. We give a formula for the extremal index (which depends upon the metric used and the period of $q$). These results imply that return times are Poisson to small balls centered at non-periodic points and compound Poisson for small balls centered at periodic points.

math.DS↗

Speed of convergence for laws of rare events and escape rates

We obtain error terms on the rate of convergence to Extreme Value Laws for a general class of weakly dependent stochastic processes. The dependence of the error terms on the `time' and `length' scales is very explicit. Specialising to data derived from a class of dynamical systems we find even more detailed error terms, one application of which is to consider escape rates through small holes in these systems.

math.DS↗

Sampling local properties of attractors via Extreme Value Theory

We provide formulas to compute the coefficients entering the affine scaling needed to get a non-degenerate function for the asymptotic distribution of the maxima of some kind of observable computed along the orbit of a randomly perturbed dynamical system. This will give information on the local geometrical properties of the stationary measure. We will consider systems perturbed with additive noise and with observational noise. Moreover we will apply our techniques to chaotic systems and to contractive systems, showing that both share the same qualitative behavior when perturbed.

nlin.CD↗

Convergence of Rare Events Point Processes to the Poisson for billiards

We show that for planar dispersing billiards the return times distribution is, in the limit, Poisson for metric balls almost everywhere w.r.t. the SRB measure. Since the Poincaré return map is piecewise smooth but becomes singular at the boundaries of the partition elements, recent results on the limiting distribution of return times cannot be applied as they require the maps to have bounded second derivatives everywhere. We first prove the Poisson limiting distribution assuming exponentially decaying correlations. For the case when the correlations decay polynomially, we induce on a subset on which the induced map has exponentially decaying correlations. We then prove a general theorem according to which the limiting return times statistics of the original map and the induced map are the same.

math.DS↗

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 will 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 is the impact of noise level, 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.

math.DS↗

Laws of rare events for deterministic and random dynamical systems

The object of this paper is twofold. From one side we study the dichotomy, in terms of the Extremal Index of the possible Extreme Value Laws, when the rare events are centred around periodic or non periodic points. Then we build a general theory of Extreme Value Laws for randomly perturbed dynamical systems. We also address, in both situations, the convergence of Rare Events Point Processes. Decay of correlations against $L^1$ observables will play a central role in our investigations.

math.DS↗

The compound Poisson limit ruling periodic extreme behaviour of non-uniformly hyperbolic dynamics

We prove that the distributional limit of the normalised number of returns to small neighbourhoods of periodic points of non-uniformly hyperbolic dynamical systems is compound Poisson. The returns to small balls around a fixed point in the phase space correspond to the occurrence of rare events, or exceedances of high thresholds, so that there is a connection between the laws of Return Times Statistics and Extreme Value Laws. The fact that the fixed point in the phase space is a repelling periodic point implies that there is a tendency for the exceedances to appear in clusters whose average sizes is given by the Extremal Index, which depends on the expansion of the system at the periodic point. We recall that for generic points, the exceedances, in the limit, are singular and occur at Poisson times. However, around periodic points, the picture is different: the respective point processes of exceedances converge to a compound Poisson process, so instead of single exceedances, we have entire clusters of exceedances occurring at Poisson times with a geometric distribution ruling its multiplicity. The systems to which our results apply include: general piecewise expanding maps of the interval (Rychlik maps), maps with indifferent fixed points (Manneville-Pomeau maps) and Benedicks-Carleson quadratic maps.

math.DS↗

Extremal Index, Hitting Time Statistics and periodicity

We give conditions to prove the existence of an Extremal Index for general stationary stochastic processes by detecting the presence of one or more underlying periodic phenomena. This theory, besides giving general useful tools to identify the extremal index, is also tailored to dynamical systems. In fact, we apply this idea to analyse the possible Extreme Value Laws for the stochastic process generated by observations taken along dynamical orbits with respect to various measures. As in the authors' previous works on this topic, the analogy of these laws in the context of hitting time statistics is explained and exploited extensively.

math.PR↗

From Rates of mixing to recurrence times via large deviations

A classic approach in dynamical systems is to use particular geometric structures to deduce statistical properties, for example the existence of invariant measures with stochastic-like behaviour such as large deviations or decay of correlations. Such geometric structures are generally highly non-trivial and thus a natural question is the extent to which this approach can be applied. In this paper we show that in many cases stochastic-like behaviour itself implies that the system has certain non-trivial geometric properties, which are therefore necessary as well as sufficient conditions for the occurrence of the statistical properties under consideration. As a by product of our techniques we also obtain some new results on large deviations for certain classes of systems which include Viana maps and multidimensional piecewise expanding maps.

math.DS↗

Extreme values for Benedicks-Carleson quadratic maps

We consider the quadratic family of maps given by $f_{a}(x)=1-a x^2$ with $x\in [-1,1]$, where $a$ is a Benedicks-Carleson parameter. For each of these chaotic dynamical systems we study the extreme value distribution of the stationary stochastic processes $X_0,X_1,...$, given by $X_{n}=f_a^n$, for every integer $n\geq0$, where each random variable $X_n$ is distributed according to the unique absolutely continuous, invariant probability of $f_a$. Using techniques developed by Benedicks and Carleson, we show that the limiting distribution of $M_n=\max\{X_0,...,X_{n-1}\}$ is the same as that which would apply if the sequence $X_0,X_1,...$ was independent and identically distributed. This result allows us to conclude that the asymptotic distribution of $M_n$ is of Type III (Weibull).

math.DS↗

Extreme Value Laws in Dynamical Systems for Non-smooth Observations

We prove the equivalence between the existence of a non-trivial hitting time statistics law and Extreme Value Laws in the case of dynamical systems with measures which are not absolutely continuous with respect to Lebesgue. This is a counterpart to the result of the authors in the absolutely continuous case. Moreover, we prove an equivalent result for returns to dynamically defined cylinders. This allows us to show that we have Extreme Value Laws for various dynamical systems with equilibrium states with good mixing properties. In order to achieve these goals we tailor our observables to the form of the measure at hand.

math.DS↗

Statistical stability of equilibrium states for interval maps

We consider families of multimodal interval maps with polynomial growth of the derivative along the critical orbits. For these maps Bruin and Todd have shown the existence and uniqueness of equilibrium states for the potential $ϕ_t:x\mapsto-t\log|Df(x)|$, for $t$ close to 1. We show that these equilibrium states vary continuously in the weak$^*$ topology within such families. Moreover, in the case $t=1$, when the equilibrium states are absolutely continuous with respect to Lebesgue, we show that the densities vary continuously within these families.

math.DS↗

Hitting Time Statistics and Extreme Value Theory

We consider discrete time dynamical systems and show the link between Hitting Time Statistics (the distribution of the first time points land in asymptotically small sets) and Extreme Value Theory (distribution properties of the partial maximum of stochastic processes). This relation allows to study Hitting Time Statistics with tools from Extreme Value Theory, and vice versa. We apply these results to non-uniformly hyperbolic systems and prove that a multimodal map with an absolutely continuous invariant measure must satisfy the classical extreme value laws (with no extra condition on the speed of mixing, for example). We also give applications of our theory to higher dimensional examples, for which we also obtain classical extreme value laws and exponential hitting time statistics (for balls). We extend these ideas to the subsequent returns to asymptotically small sets, linking the Poisson statistics of both processes.

math.DS↗