Abstract
We study the average shape of a fluctuation of a time series , which is the average value before first returns at time to its initial value . For large classes of stochastic processes, we find that a scaling law of the form is obeyed. The scaling function is, to a large extent, independent of the details of the single increment distribution, while it encodes relevant statistical information on the presence and nature of temporal correlations in the process. We discuss the relevance of these results for Barkhausen noise in magnetic systems.
- Received 23 September 2002
DOI:https://doi.org/10.1103/PhysRevLett.90.060601
©2003 American Physical Society