Recurrence time analysis, long-term correlations, and extreme events

Abstract

The recurrence times between extreme events have been the central point of statistical analyses in many different areas of science. Simultaneously, the Poincaré recurrence time has been extensively used to characterize nonlinear dynamical systems. We compare the main properties of these statistical methods pointing out their consequences for the recurrence analysis performed in time series. In particular, we analyze the dependence of the mean recurrence time and of the recurrence time statistics on the probability density function, on the interval whereto the recurrences are observed, and on the temporal correlations of time series. In the case of long-term correlations, we verify the validity of the stretched exponential distribution, which is uniquely defined by the exponent gamma, at the same time showing that it is restricted to the class of linear long-term correlated processes. Simple transformations are able to modify the correlations of time series leading to stretched exponentials recurrence time statistics with different gamma, which shows a lack of invariance under the change of observables.