Extreme value laws in dynamical systems under physical observables

Abstract

Extreme value theory for chaotic dynamical systems is a rapidly expanding area of research. Given a system and a real function (observable) defined on its phase space, extreme value theory studies the limit probabilistic laws obeyed by large values attained by the observable along orbits of the system. Based on this theory, the so-called block maximum method is often used in applications for statistical prediction of large value occurrences. In this method, one performs inference for the parameters of the Generalised Extreme Value (GEV) distribution, using maxima over blocks of regularly sampled observations along an orbit of the system. The observables studied so far in the theory are expressed as functions of the distance with respect to a point, which is assumed to be a density point of the system's invariant measure. However, this is not the structure of the observables typically encountered in physical applications, such as windspeed or vorticity in atmospheric models. In this paper we consider extreme value limit laws for observables which are not functions of the distance from a density point of the dynamical system. In such cases, the limit laws are no longer determined by the functional form of the observable and the dimension of the invariant measure: they also depend on the specific geometry of the underlying attractor and of the observable's level sets. We present a collection of analytical and numerical results, starting with a toral hyperbolic automorphism as a simple template to illustrate the main ideas. We then formulate our main results for a uniformly hyperbolic system, the solenoid map. We also discuss non-uniformly hyperbolic examples of maps (Hénon and Lozi maps) and of flows (the Lorenz63 and Lorenz84 models). Our purpose is to outline the main ideas and to highlight several serious problems found in the numerical estimation of the limit laws.