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Records for the moving average of a time series

Abstract : We investigate how the statistics of extremes and records is affected when taking the moving average over a window of width $p$ of a sequence of independent, identically distributed random variables. An asymptotic analysis of the general case, corroborated by exact results for three distributions (exponential, uniform, power-law with unit exponent), evidences a very robust dichotomy, irrespective of the window width, between superexponential and subexponential distributions. For superexponential distributions the statistics of records is asymptotically unchanged by taking the moving average, up to interesting distribution-dependent corrections to scaling. For subexponential distributions the probability of record breaking at late times is increased by a universal factor R$_p$, depending only on the window width.
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Submitted on : Thursday, June 11, 2020 - 5:15:22 PM
Last modification on : Sunday, June 26, 2022 - 2:50:44 AM


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Claude Godrèche, Jean-Marc Luck. Records for the moving average of a time series. Journal of Statistical Mechanics: Theory and Experiment, 2020, 2020 (2), pp.023201. ⟨10.1088/1742-5468/ab5d08⟩. ⟨cea-02865416⟩



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