摘要翻译：
本文将讨论具有非指数衰减的有限项相关的时间序列中极值的统计量。精确地说，它将考虑对颗粒结构电阻器在非平衡稳态下所表现出的电阻和缺陷分数涨落极值的返回间隔进行数值分析的结果。采用电阻网络方法，通过蒙特卡罗模拟计算了电阻和缺陷分数随时间的变化。结果表明，当涨落的自相关函数呈非指数、非幂律衰减时，极值的返回间隔呈伸展指数分布，且指数与阈值无关。最近，Bunde等人在长期相关时间序列中发现了极值返回间隔的伸展指数分布。（2003）和Altmann和Kantz(2005)。因此，本文的结果表明，回归区间的伸展指数分布并不是长期相关时间序列独有的特征。
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英文标题：
《Statistics of Extreme Values in Time Series with Intermediate-Term
  Correlations》
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作者：
Cecilia Pennetta
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最新提交年份：
2007
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分类信息：

一级分类：Physics        物理学
二级分类：Statistical Mechanics        统计力学
分类描述：Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相变，热力学，场论，非平衡现象，重整化群和标度，可积模型，湍流
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一级分类：Physics        物理学
二级分类：Other Condensed Matter        其他凝聚态物质
分类描述：Work in condensed matter that does not fit into the other cond-mat classifications
在不适合其他cond-mat分类的凝聚态物质中工作
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  It will be discussed the statistics of the extreme values in time series characterized by finite-term correlations with non-exponential decay. Precisely, it will be considered the results of numerical analyses concerning the return intervals of extreme values of the fluctuations of resistance and defect-fraction displayed by a resistor with granular structure in a nonequilibrium stationary state. The resistance and defect-fraction are calculated as a function of time by Monte Carlo simulations using a resistor network approach. It will be shown that when the auto-correlation function of the fluctuations displays a non-exponential and non-power-law decay, the distribution of the return intervals of extreme values is a stretched exponential, with exponent largely independent of the threshold. Recently, a stretched exponential distribution of the return intervals of extreme values has been identified in long-term correlated time series by Bunde et al. (2003) and Altmann and Kantz (2005). Thus, the present results show that the stretched exponential distribution of the return intervals is not an exclusive feature of long-term correlated time series.
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PDF链接：
https://arxiv.org/pdf/709.3955