Physics – Condensed Matter – Statistical Mechanics
Scientific paper
2007-02-06
J. Stat. Mech. (2007) P07001
Physics
Condensed Matter
Statistical Mechanics
12 pages, 2 figures
Scientific paper
10.1088/1742-5468/2007/07/P07001
In the context of this paper, a record is an entry in a sequence of random variables (RV's) that is larger or smaller than all previous entries. After a brief review of the classic theory of records, which is largely restricted to sequences of independent and identically distributed (i.i.d.) RV's, new results for sequences of independent RV's with distributions that broaden or sharpen with time are presented. In particular, we show that when the width of the distribution grows as a power law in time $n$, the mean number of records is asymptotically of order $\ln n$ for distributions with a power law tail (the \textit{Fr\'echet class} of extremal value statistics), of order $(\ln n)^2$ for distributions of exponential type (\textit{Gumbel class}), and of order $n^{1/(\nu+1)}$ for distributions of bounded support (\textit{Weibull class}), where the exponent $\nu$ describes the behaviour of the distribution at the upper (or lower) boundary. Simulations are presented which indicate that, in contrast to the i.i.d. case, the sequence of record breaking events is correlated in such a way that the variance of the number of records is asymptotically smaller than the mean.
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