The average shape of a fluctuation: universality in excursions of stochastic processes
We study the average shape of a fluctuation of a time series x(t), that is the average value <x(t)-x(0)>_T before x(t) first returns, at time T, to its initial value x(0). For large classes of stochastic processes we find that a scaling law of the form <x(t) - x(0)>_T = T^\alpha f(t/T) is obeyed. The scaling function f(s) is to a large extent independent of the details of the single increment distribution, while it encodes relevant statistical information on the presence and nature of temporal correlations in the process. We discuss the relevance of these results for Barkhausen noise in magnetic systems.
Year of publication: |
2003-01
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Authors: | Baldassarri, Andrea ; Colaiori, Francesca ; Castellano, Claudio |
Institutions: | arXiv.org |
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