Order statistics of 1/f^{\alpha} signals
Nicholas R. Moloney, Katalin Ozogány, Zoltàn Ràcz · arXiv (Cornell University) · 2011
Order statistics of periodic, Gaussian noise with 1/f^{\alpha} power spectrum is investigated. Using simulations and phenomenological arguments, we find three scaling regimes for the average gap d_k= between the k-th and (k+1)-st largest values of the signal. The result d_k ~ 1/k known for independent, identically distributed variables remains valid for 05. The spectra of average ordered values \epsilon_k= ~ k^{\beta} is also examined. The exponent {\beta} is derived from the gap scaling as well as by relating \epsilon_k to the density of near extreme states. Known results for the density of near extreme states combined with scaling suggest that \beta(\alpha=2)=1/2, \beta(4)=3/2, and beta(infinity)=2 are exact values. We also show that parallels can be drawn between \epsilon_k and the quantum mechanical spectra of a particle in power-law potentials.