著者

Kiyono Ken Konno Hidetoshi

出版者

American Physical Society

雑誌

Physical review E (ISSN:15393755)

巻号頁・発行日

vol.87, no.5, pp.052104, 2013-05

被引用文献数

9 3

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As a possible generalization of Beck-Cohen superstatistical processes, we study non-Gaussian processes with temporal heterogeneity of local variance. To characterize the variance heterogeneity, we define log-amplitude cumulants and log-amplitude autocovariance and derive closed-form expressions of the log-amplitude cumulants for χ2, inverse χ2, and log-normal superstatistical distributions. Furthermore, we show that χ2 and inverse χ2 superstatistics with degree 2 are closely related to an extreme value distribution, called the Gumbel distribution. In these cases, the corresponding superstatistical distributions result in the q-Gaussian distribution with q=5/3 and the bilateral exponential distribution, respectively. Thus, our finding provides a hypothesis that the asymptotic appearance of these two special distributions may be explained by a link with the asymptotic limit distributions involving extreme values. In addition, as an application of our approach, we demonstrated that non-Gaussian fluctuations observed in a stock index futures market can be well approximated by the χ2 superstatistical distribution with degree 2.