Scaling and Extreme Value Statistics of Sub-Gaussian Fields with Application to Neutron Porosity Data
Peaks over threshold
Extreme Value Analysis
AdvisorNeuman, Shlomo P.
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PublisherThe University of Arizona.
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EmbargoRelease after 3-Dec-2016
AbstractMy dissertation is based on a unified self-consistent scaling framework which is consistent with key behavior exhibited by many spatially/temporally varying earth, environmental and other variables. This behavior includes tendency of increments to have symmetric, non-Gaussian frequency distributions characterized by heavy tails that often decay with lag; power-law scaling of sample structure functions (statistical moments of absolute increments) in midranges of lags, with breakdown in power-law scaling at small and/or large lags; linear relationships between log structure functions of successive orders at all lags, also known as extended self-similarity; and nonlinear scaling of structure function power-law exponents with function order. The major question we attempt to answer is: given data measured on a given support scale at various points throughout a 1D/2D/3D sampling domain, which appear to be statistically distributed and to scale in a manner consistent with that scaling framework, what can be said about the spatial statistics and scaling of its extreme values, on arbitrary separation or domain scales? To do so, we limit our investigation in 1D domain for simplicity and generate synthetic signals as samples from 1D sub-Gaussian random fields subordinated to truncated monofractal fractional Brownian motion (tfBm) or truncated fractional Gaussian noise (tfGn). Such sub-Gaussian fields are scale mixtures of stationary Gaussian fields with random variances that we model as being log-normal or Lévy α/2-stable. This novel interpretation of the data allows us to obtain maximum likelihood estimates of all parameters characterizing the underlying truncated sub-Gaussian fields. Based on synthetic data, we find these samples conform to the aforementioned scaling framework and confirm the effectiveness of generation schemes. We numerically investigate the manner in which variables, which scale according to the above scaling framework, behave at the tails of their distributions. Ours is the first study to explore the statistical scaling of extreme values, specifically peaks over thresholds or POTs, associated with such families of sub-Gaussian fields. Before closing this work, we apply and verify our analysis by investigating the scaling of statistics characterizing vertical increments in neutron porosity data, and POTs in absolute increments, from six deep boreholes in three different depositional environments.
Degree ProgramGraduate College