Iddo Eliazar (Bar Ilan)

will speak on

Extremes: a continuous-time perspective

Abstract:

We consider a generic continuous-time system in which events of random magnitudes occur stochastically, and study the system's extreme-value statistics. An event is described by a pair $(t,x)$ of coordinates where: $t$ is the time at which the event took place, and $x$ is the magnitude of the event. The stochastic occurrence of the events is assumed to be governed by an arbitrary Poisson Point Process. We study various issues regarding the system's extreme-value statistics including: (i) the distribution of the largest-magnitude event; (ii) the structure and simulation of the entire sequence of order-statistics; (iii) the internal hierarchy of the sequence of order-statistics - how large are their magnitudes when measured relative to each other; (iv) the occurrence of record times and record values; and, (v) geometric record times.

To suggest a talk (yours, or someone elses), contact Jon. Aaronson:

Back to: Jon Aaronson's homepage.

Last update on 20/10/02.