Average shape of a fluctuation: universality in excursions of stochastic processes

Phys Rev Lett. 2003 Feb 14;90(6):060601. doi: 10.1103/PhysRevLett.90.060601. Epub 2003 Feb 14.


We study the average shape of a fluctuation of a time series x(t), which is the average value <x(t) - x(0)>(T) before x(t) first returns at time T to its initial value x(0). For large classes of stochastic processes, we find that a scaling law of the form <x(t) - x(0)>(T) = T(alpha)f(t/T) is obeyed. The scaling function f(s) 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.