On the Occurence of Extreme Events in Long-term Correlated and Multifractal Data Sets

Abstract

We review recent studies of the statistics of return intervals (i) in long-term correlated monofractal records and (ii) in multifractal records in the absence (or presence) of linear long-term correlations. We show that for the monofractal records which are long-term power-law correlated with exponent γ, the distribution density of the return intervals follows a stretched exponential with the same exponent γ and the return intervals are long-term correlated, again with the same exponent γ. For the multifractal record, significant differences in scaling behavior both in the distribuiton and correlation behavior of return intervals between large events of different magnitudes are demonstrated. In the absence of linear long-term correlations, the nonlinear correlations contribute strongly to the statistics of the return intervals such that the return intervals become long-term correlated even though the original data are linearly uncorrelated (i.e., the autocorrelation function vanishes). The distribution density of the return intervals is mainly described by a power law.