Towards a General Theory of Extremes for Observables of Chaotic Dynamical Systems

TL;DR

This paper establishes a theoretical link between the geometry of chaotic dynamical systems and the distribution of extreme values of observables, deriving explicit formulas for the shape parameter of the generalized Pareto distribution based on partial dimensions.

Contribution

It introduces a general theory connecting geometric properties of chaotic systems with extreme value distributions, including explicit expressions for the shape parameter.

Findings

Shape parameter depends only on partial dimensions of the invariant measure.

Shape parameter is negative and approaches zero in high-dimensional systems.

Preliminary numerical results support the theoretical predictions.

Abstract

In this paper we provide a connection between the geometrical properties of a chaotic dynamical system and the distribution of extreme values. We show that the extremes of so-called physical observables are distributed according to the classical generalised Pareto distribution and derive explicit expressions for the scaling and the shape parameter. In particular, we derive that the shape parameter does not depend on the chosen observables, but only on the partial dimensions of the invariant measure on the stable, unstable, and neutral manifolds. The shape parameter is negative and is close to zero when high-dimensional systems are considered. This result agrees with what was derived recently using the generalized extreme value approach. Combining the results obtained using such physical observables and the properties of the extremes of distance observables, it is possible to derive estimates of the partial dimensions of the attractor along the stable and the unstable directions of the flow. Moreover, by writing the shape parameter in terms of moments of the extremes of the considered observable and by using linear response theory, we relate the sensitivity to perturbations of the shape parameter to the sensitivity of the moments, of the partial dimensions, and of the Kaplan-Yorke dimension of the attractor. Preliminary numerical investigations provide encouraging results on the applicability of the theory presented here. The results presented here do not apply for all combinations of Axiom A systems and observables, but the breakdown seems to be related to very special geometrical configurations.