Distribution of first-return times in correlated stationary signals.


We present an analytical expression for the first return time (FRT) probability density function of a stationary correlated signal. Precisely, we start by considering a stationary discrete-time Ornstein-Uhlenbeck (OU) process with exponential decaying correlation function. The first return time distribution for this process is derived by adopting a well… (More)


Cite this paper

@article{Palatella2011DistributionOF, title={Distribution of first-return times in correlated stationary signals.}, author={Luigi Palatella and C. Pennetta}, journal={Physical review. E, Statistical, nonlinear, and soft matter physics}, year={2011}, volume={83 4 Pt 1}, pages={041102} }