Speaker
Prof.
Joachim Krug
(University of Cologne)
Description
Record-breaking events of all kinds generate considerable
attention in the public domain, but the mathematical theory
of records appears to be known only to specialists. In its
classic form, the theory is concerned with records in time
series of independent, identically distributed random
variables, for which the sequence of record-breaking events
displays a number of non-obvious, universal properties. In
recent work we have modified the basic record model by
taking into account a systematic, linear time dependence of
the mean of the underlying random variables. Somewhat
counterintuitively, the drift induces correlations between
record events which may lead to a bunching of records when
the underlying probability distribution has heavy tails.
Applications of the theory to global warming and stock
market fluctuations will also be described.
The talk is based on joint work with Gregor Wergen and
Jasper Franke.
Primary author
Prof.
Joachim Krug
(University of Cologne)
