Discrete Sampling of Extreme Events Modifies Their Statistics

Abstract

Extreme value (EV) statistics of correlated systems are widely investigated in many fields, spanning the spectrum from weather forecasting to earthquake prediction. Does the unavoidable discrete sampling of a continuous correlated stochastic process change its EV distribution? We explore this question for correlated random variables modeled via Langevin dynamics for a particle in a potential field. For potentials growing at infinity faster than linearly and for long measurement times, we find that the EV distribution of the discretely sampled process diverges from that of the full continuous dataset and converges to that of independent and identically distributed random variables drawn from the process's equilibrium measure. However, for processes with sublinear potentials, the long-time limit is the EV statistics of the continuously sampled data. We treat processes whose equilibrium measures belong to the three EV attractors: Gumbel, Fréchet, and Weibull. Our work shows that the EV statistics can be extremely sensitive to the sampling rate of the data.

Main text: 7 pages, 7 figures. Supplemental Material: 11 pages. This work is a short version of a still-in-preparation study (arXiv:2108.06778)

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• First-passage and extreme value statistics for overdamped Brownian motion in a linear potential