Effect of nonlinearity of discrete Langevin model on behavior of extremes in generated time series

Abstract In this work we analyze the influence of nonlinearity on the behavior of extremal values of time series generated by two discrete Langevin models: fixing the diffusion function in the first (M1), the marginal distribution in the second (M2). The extremes were generated by applying the run theory. A mathematical relationship was found between nonlinearity of models and means and distributions of run lengths and inter-extreme times as well as with the clustering of extremes. Furthermore, the Allan factor curves of the extremes suggest that the sequences of extremes are fractal for timescales up to the mean inter-extreme time. Our main findings are that the variation of the nonlinearity parameter in model M1 (leading to the increase of the marginal distribution tail length) can cause a significant variation of the extreme characteristics and an increase of the clustering while the variation of the nonlinearity parameter in model M2 (with fixed distribution) has a little effect on extremes.