ELFT HÍRADÓ

[StatFizSzeminar <statfiz AT glu.elte.hu>]

                   #    #    #    #    #    #

                   ELTE Institute of Physics
                SEMINARS IN STATISTICAL PHYSICS


                        14 October 2015
                       Wednesday, 11 a.m.

                        Nicholas Moloney

                London Mathematical Laboratory

             "Thresholding a birth-death process"


When analysing time series it is common to apply thresholds. For
example, this could be to eliminate noise coming from the resolution
limitations of measuring devices, or to focus on extreme events in the
case of high thresholds. We analyse the effect of applying a threshold
to the duration time of a birth-death process. This toy model allows
us to work out the form of the duration time density in full
detail. We find that duration times decay with random walk exponent
-3/2 for `short' times, and birth-death exponent -2 for `long' times,
where short and long are characterised by a threshold-imposed
timescale. For sparse data the ultimate -2 exponent of the underlying
(multiplicative) process may never be observed. This may have
implications for real-world data in the interpretation of
threshold-specific decay exponents.

(In collaboration with F. Font-Clos, G. Pruessner and A. Deluca.)


                          Room 2.54
     1117 Budapest, Pázmány P. sétány 1/A (Northern Block)
              home page: http://glu.elte.hu/~statfiz


                   #    #    #    #    #    #