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Maxima, minima and sum statistics of a family of correlated variables

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SSDW05 - Modelling and Applications of Anomalous Diffusions

Sum and extreme value statistics of independent and weakly correlated random variables are asymptotically described by a handful of “universal” distributions, as established by the central limit theorem and its generalizations, and the Fisher-Tippett-Gnedenko theorem. On the other hand, while strongly correlated systems are abundant, only for a few exceptional cases can their sum or order statistics be determined analytically. In this talk I present a large class of systems with strong correlations for which the sum and complete order statistics can be solved exactly. I present simple examples that illustrate an application of these results.  

This talk is part of the Isaac Newton Institute Seminar Series series.

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