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# FISIST/10-2002/CFIF Lepton-Flavour Violation in SUSY with and without R–parity**footnote *To appear in the Proceedings of the Corfu Summer Institute on Elementary Particle Physics, Corfu 2001, Edited by J. Rizos.

## 1 Introduction

In the Standard Model (SM), lepton number is exactly preserved in contradiction with the observed neutrino oscillations . Typically, enlargements of the SM explaining these flavor oscillations include violation of the lepton numbers $`L_{e,\mu ,\tau }`$ for charged lepton which will be manifested in processes such as $`\mu e\gamma `$, $`\mu 3e`$, $`\mu e`$ conversion in heavy nuclei, $`\tau \mu \gamma `$ and $`K_L\mu e`$. The experimental upper bound for these processes is quite restrictive, which imposes a significant constraint for the explanation of flavor in models beyond the SM. The Supersymmetric extension of the SM (SUSY) provides an excellent framework to study them, since the predicted rates can be of the order of the bounds that will be reached in current or projected experiments. In addition the SUSY contribution to the anomalous magnetic moment of the muon, $`a_\mu (g_\mu 2)/2`$ can be compatible with the difference between the value predicted by the SM and the recent measured value .

In this presentation we concentrate on the study of $`\mu e\gamma `$ and $`\tau \mu \gamma `$, their current experimental limits are :

$`BR(\mu e\gamma )`$ $`<`$ $`1.2\times 10^{11}`$
$`BR(\tau \mu \gamma )`$ $`<`$ $`1.1\times 10^6.`$ (1)
The SUSY predictions for these processes will be shown in three different scenarios. The first is Minimal Supersymmetric SM (MSSM) with non–universal soft–terms , without involving the neutrino sector. The two other models can explain neutrino oscillations trough small neutrino masses, the second by means of a ”see-saw” mechanism , while in the third bilinear R–parity violation (BRpV) is considered .

Results for other processes like $`\mu e`$ conversion in heavy nuclei and $`K_L\mu e`$ can be found in refs.  and references there in.

## 2 $`l_jl_i\gamma `$ Flavor Violating Processes and the $`\mu `$ Anomalous Magnetic Moment

The effective operators that generate the decays $`l_j^{}l_i^{}\gamma `$ and the lepton anomalous magnetic moment can be written as:

$$L_{eff}=e\frac{m_{l_j}}{2}\overline{l}_i\sigma _{\mu \nu }F^{\mu \nu }\left(A_{Lij}P_L+A_{Rij}P_R\right)l_j$$
(2)
The one–loop contributions to $`A_{L,R}`$ in R–parity conserving SUSY arises from the diagrams in Fig. 1, while for models with BRpV the corresponding diagrams are presented in Fig. 4.

The branching ratio for the rare lepton decays $`l_jl_i\gamma `$ is given by :

$$BR(l_j^{}l_i^{}\gamma )=\frac{48\pi ^3\alpha }{G_F^2}\left(\left|A_{Lij}\right|^2+\left|A_{Rij}\right|^2\right).$$
(3)
The expression for the muon anomalous magnetic moment can be obtained from the Lagrangian given in Eq. (2):

$$a^\mu =\frac{(g_\mu 2)}{2}=m_\mu ^2(A_L^{\mu \mu }+A_R^{\mu \mu })$$
(4)
In R–parity conserving SUSY models, the presence of LFV processes is associated with vertexes involving leptons and their superpartners. In the Minimal Supersymmetric Standard Model (MSSM), with universal soft terms, it is possible to rotate the charged lepton Yukawa couplings and the sleptons in such a way that lepton flavor is preserved. However, a small deviation from flavor universality in the soft-terms at the GUT scale will be severely constrained by the experimental bounds (1). In fact GUT theories  and models with $`U(1)`$ family symmetries  can lead to the MSSM with flavor–dependent soft terms leading to important violations of the lepton flavor.

The lepton Yukawa couplings can be diagonalized by the unitary matrices $`U_L`$ and $`U_R`$ as follows,

$$m_l=\frac{v\mathrm{cos}\beta }{\sqrt{2}}U_R(Y^l)^TU_L^{}.$$
(5)
When the superfields are written in this basis, the expressions for the charged slepton mass matrices at low energy take the form:

$`\begin{array}{cc}M_{\stackrel{~}{l}}^2=\left(\begin{array}{cc}\left(M_{\stackrel{~}{l}}^2\right)_{LL}& \left(M_{\stackrel{~}{l}}^2\right)_{LR}\\ \left(M_{\stackrel{~}{l}}^2\right)_{RL}& \left(M_{\stackrel{~}{l}}^2\right)_{RR}\end{array}\right),\hfill & \end{array}`$ (9)
where,

$`\left(M_{\stackrel{~}{l}}^2\right)_{LL}`$ $`=`$ $`U_Lm_L^2U_L^{}+m_l^2{\displaystyle \frac{m_Z^2}{2}}(12\mathrm{sin}^2\theta _W)\mathrm{cos}2\beta ,`$
$`\left(M_{\stackrel{~}{l}}^2\right)_{RR}`$ $`=`$ $`U_R(m_R^2)^TU_R^{}+m_l^2+m_Z^2\mathrm{sin}^2\theta _W\mathrm{cos}2\beta ,`$
$`\left(M_{\stackrel{~}{l}}^2\right)_{LR}`$ $`=`$ $`\left(M_{\stackrel{~}{l}}^2\right)_{RL}^{}=\mu m_l\mathrm{tan}\beta +{\displaystyle \frac{v\mathrm{cos}\beta }{\sqrt{2}}}U_LY_l^AU_R^{},`$ (10)
where $`m_L^2`$ and $`m_R^2`$ are the soft breaking $`(3\times 3)`$ mass matrices for the slepton doublet and singlet respectively.

The sneutrino mass matrix is simply given by the $`(3\times 3)`$ mass matrix:

$$M_{\stackrel{~}{\nu }}^2=U_Lm_L^2U_L^{}+\frac{m_Z^2}{2}\mathrm{cos}2\beta $$
(11)
The relevant lepton–flavor changing mass matrix elements on the slepton mass matrices above are given by:

$`(\delta _{LL}^l)_{ij}`$ $`=`$ $`\left[U_Lm_L^2U_L^{}\right]_{ij}`$
$`(\delta _{LR}^l)_{ij}`$ $`=`$ $`\left[U_LY_l^AU_R^{}\right]_{ij}`$ (12)
$`(\delta _{RR}^l)_{ij}`$ $`=`$ $`\left[U_R(m_R^2)^TU_R^{}\right]_{ij}`$
where $`i`$, $`j`$ are flavor indices ( $`ij`$).

## 3 Models with Non-universal Soft SUSY breaking terms

The example of the MSSM with non–universal soft SUSY breaking terms presented here is based on the effective supergravity theories which emerge in the low energy limit of the weakly coupled heterotic strings (WCHS) .

In the WCHS, it is assumed that the superpotential of the dilaton ($`S`$) and moduli ($`T`$) fields is generated by some non–perturbative mechanism, and that the $`F`$-terms of $`S`$ and $`T`$ contribute to the SUSY breaking. Hence one can parametrize the $`F`$-terms as

$$F^S=\sqrt{3}m_{3/2}(S+S^{})\mathrm{sin}\theta ,F^T=m_{3/2}(T+T^{})\mathrm{cos}\theta .$$
(13)
Here $`m_{3/2}`$ is the gravitino mass and $`\mathrm{tan}\theta `$ corresponds to the ratio between the $`F`$-terms of $`S`$ and $`T`$. In this framework, the soft scalar masses $`m_i`$ and the gaugino masses $`M_a`$ are given by

$`m_i^2`$ $`=`$ $`m_{3/2}^2(1+n_i\mathrm{cos}^2\theta ),`$ (14)
$`M_a`$ $`=`$ $`\sqrt{3}m_{3/2}\mathrm{sin}\theta ,`$ (15)
where $`n_i`$ is the modular weight of the corresponding field. The $`A`$-terms are written as

$`A_{ijk}`$ $`=`$ $`\sqrt{3}m_{3/2}\mathrm{sin}\theta m_{3/2}\mathrm{cos}\theta (3+n_i+n_j+n_k),`$ (16)
where $`n_{i,j,k}`$ are the modular weights of the fields that are coupled by this $`A`$–term. We assume $`n_i=2`$ for the first two generations and for the down Higgs and $`n_i=1`$ for the third generation and the up Higgs.

To illustrate the dependence of the results on the lepton Yukawa couplings, we consider two examples of symmetric textures at the GUT scale:

* Texture I,

$$Y_l=y^\tau \left(\begin{array}{ccc}0& 5.07\times 10^3& 0\\ 5.07\times 10^3& 8.37\times 10^2& 0.4\\ 0& 0.4& 1\end{array}\right)$$
(17)
* Texture II,

$$Y_l=y^\tau \left(\begin{array}{ccc}3.3\times 10^4& 1.64\times 10^5& 0\\ 1.64\times 10^5& 8.55\times 10^2& 0.4\\ 0& 0.4& 1\end{array}\right)$$
(18)

Texture I is a symmetric texture which can be considered to be the limiting case of textures arising from $`U(1)`$ family symmetries as described in Refs.  and studied in the next section. Typically a prediction for the decay $`\tau \mu \gamma `$ of the order of the experimental limit (1) will imply a severe violation of the experimental bound for $`\mu e\gamma `$. We can see in Fig. 2 how texture I (graphic on the left) tolerates small deviations from universality of the soft terms. The experimental bound on $`BR(\mu e\gamma )`$ is satisfied only for $`\mathrm{sin}\theta >.96`$ ($`m_{3/2}=200\mathrm{GeV}`$) and for $`\mathrm{sin}\theta >.91`$ ($`m_{3/2}=400\mathrm{GeV}`$) while for the same range on $`\mathrm{sin}\theta `$ the corresponding prediction for $`BR(\tau \mu \gamma )`$ is well below the experimental bound.

Texture II was chosen as an illustration of how the current bounds (1) can provide some information about the lepton Yukawa couplings on the context of the models considered. The results obtained using texture II (Fig. 2, graphic on the right) allow us to start the graph at the lowest value of $`\mathrm{sin}\theta =1/\sqrt{2}`$. As it can be seen, the experimental bounds are more restrictive for the $`\tau \mu \gamma `$ than for $`\mu e\gamma `$ process.

## 4 SUSY Models with ”see–saw” Mechanism

One of most attractive mechanisms for obtaining sub-eV neutrino masses is the ”see–saw” mechanism . The ”see-saw” mechanism can be included in SUSY models by enlarging the MSSM with right-handed neutral fields, $`N^c`$, such that the superpotential at the GUT scale becomes:

$$W=W_{MSSM}+N^ch_DLH_u+\lambda _N\chi N^cN^c;$$
(19)
Were $`\chi `$ is a singlet field which acquires a VEV at a high scale of energy leading to heavy Majorana masses for the fields $`N^c`$, $`M_N=\lambda _N<\chi >`$.

The effective theory below the $`M_N`$  scale (which here is assumed common for the three generations) is the the MSSM with tiny neutrino masses:

$$W_{eff}=W_{MSSM}+(h_DLH_u)^TM_N^1(h_DLH_u);$$
(20)
In general, the Dirac neutrino and charged-lepton Yukawa couplings, $`h_D`$ and $`Y_l`$ respectively, cannot be diagonalized simultaneously. Since both these sets of lepton Yukawa couplings appear in the renormalization-group equations, the lepton Yukawa matrices and the slepton mass matrices cannot be diagonalized simultaneously at low energies, either. In the basis where $`Y_l`$ is diagonal, the slepton-mass matrix acquires non-diagonal contributions from renormalization at scales below $`M_{GUT}`$ , of the form:

$`(\delta _{LL}^l){\displaystyle \frac{1}{16\pi ^2}}(3+a^2)\mathrm{ln}{\displaystyle \frac{M_{GUT}}{M_N}}h_D^{}h_Dm_{3/2}^2,`$ (21)
where $`a`$ is related to the trilinear mass parameter: $`A_{\mathrm{}}am_0`$, where $`m_0`$ is the common assumed value of the scalar masses at the GUT scale.

In order to illustrate our estimates of the expected effects, we calculate the rates for rare processes violating charged-lepton number in a model with Abelian favor symmetries and symmetric fermion mass matrices , which leads to the following pattern of charged-lepton masses $`m_{\mathrm{}}`$ and neutrino Dirac masses $`m_{\nu _D}`$:

$`m_{\mathrm{}}\left(\begin{array}{ccc}\overline{ϵ}^7& \overline{ϵ}^3& \overline{ϵ}^{7/2}\\ \overline{ϵ}^3& \overline{ϵ}& \overline{ϵ}^{1/2}\\ \overline{ϵ}^{7/2}& \overline{ϵ}^{1/2}& 1\end{array}\right),m_{\nu _D}\left(\begin{array}{ccc}\overline{ϵ}^{14}& \overline{ϵ}^6& \overline{ϵ}^7\\ \overline{ϵ}^6& \overline{ϵ}^2& \overline{ϵ}\\ \overline{ϵ}^7& \overline{ϵ}& 1\end{array}\right),`$ (28)
where $`\overline{ϵ}`$ is a (small) expansion parameter related to the Abelian symmetry-breaking scale (assumed here to be $`.2)`$.

The elements of the Yukawa coupling matrices at the GUT scale can be chosen to be consistent with the experimental values of the fermion masses by introducing coefficients of order one in the entries of the mass matrices. In the notation of , we choose for this model (model A ) $`C_{12}=\mathrm{\hspace{0.17em}0.77},C_{23}=\mathrm{\hspace{0.17em}0.79}`$.

The difference on the value of the muon anomalous magnetic moment found in the BNL E821 measurement  with respect to the SM prediction, which originally was considered to be $`2.6\sigma `$ is now reduced to $`1.6\sigma `$ after a theoretical error has been corrected (see discussion and references in ). When the $`2\sigma `$ range is considered, the allowed values for contributions beyond the SM become,

$$6\times 10^{10}\delta a_\mu a_\mu ^{exp}a_\mu ^{SM}58\times 10^{10},$$
(29)
The predictions for BR($`\mu e\gamma `$) are shown in Fig. 3, the solid line correspond to the upper bound of (29). The other constraints described in the caption are taken from . The predictions for B($`\tau \mu \gamma `$) in this model can be found in , these are typically less restrictive than the case of $`\mu e\gamma `$ discussed above.

## 5 SUSY with Bilinear R–Parity Violation

The simplest extension of the MSSM with bilinear R–parity violation (BRpV) (allowing B–conserving but L-violating interactions) can explain the neutrino masses and mixings which can account for the observed neutrino oscillations .

In the model we consider, the MSSM superpotential is enlarged with bilinear terms that violate lepton number and therefore also breaks R–parity:

$$W=W_{MSSM}+ϵ_iL_iH_u.$$
(30)
The inclusion of the R–parity violating term, though small, can modify the predictions of the MSSM. The most salient features are that neutrinos become massive and the lightest neutralino is no longer a dark matter candidate because it is allowed to decay. Furthermore, we can observe that this model implies the mixing of the leptons with the usual charginos and neutralinos of the MSSM. Lepton Yukawa couplings can be written as diagonal matrices without any loss of generality since it is possible to rotate the superfields $`L_i`$ in the superpotential, Eq. (30), such that Yukawa matrix $`Y_l`$ becomes diagonal. Conversely, in BRpV models it is possible to apply a similar rotation to reduce the number $`ϵ`$ parameters and provide a non-trivial structure to $`Y_l`$ .

In addition to the MSSM soft SUSY breaking terms in $`V_{soft}^{MSSM}`$ the BRpV model contains the following extra term

$$V_{soft}^{BRpV}=B_iϵ_i\stackrel{~}{L}_iH_u.$$
(31)
The electroweak symmetry is broken when the two Higgs doublets $`H_d`$ and $`H_u`$, and the neutral component of the slepton doublets $`\stackrel{~}{L}_i`$ acquire vacuum expectation values.

In addition to the above MSSM parameters, our model contains nine new parameters, $`ϵ_i`$, $`v_i`$ and $`B_i`$. The minimization of the scalar potential allows to relate some of these free parameters.

The range of values of the $`ϵ`$–parameters is indirectly associated to the size of the neutrino masses predicted by the model. To explore this relation we describe next the mass mixings among neutralinos and neutrinos. In the basis $`\psi ^{0T}=(i\lambda ^{},i\lambda ^3,\stackrel{~}{H}_d^0,\stackrel{~}{H}_u^0,\nu _e,\nu _\mu ,\nu _\tau )`$ the neutral fermion mass matrix $`𝐌_N`$ is given by

$$𝐌_N=\left[\begin{array}{cc}_{\chi ^0}& m^T\\ m& 0\end{array}\right]$$
(32)
where $`_{\chi ^0}`$ is the standard MSSM neutralino mass matrix and

$$m=\left[\begin{array}{cccc}\frac{1}{2}g^{}v_1& \frac{1}{2}gv_1& 0& ϵ_1\\ \frac{1}{2}g^{}v_2& \frac{1}{2}gv_2& 0& ϵ_2\\ \frac{1}{2}g^{}v_3& \frac{1}{2}gv_3& 0& ϵ_3\end{array}\right]$$
(33)
characterizes the breaking of R-parity.

The mass matrix $`𝐌_N`$ is diagonalized by

$$𝒩^{}𝐌_𝐍𝒩^\mathrm{𝟏}=\mathrm{𝐝𝐢𝐚𝐠}(𝐦_{\chi _𝐢^\mathrm{𝟎}},𝐦_{\nu _𝐣}),$$
(34)
where $`(i=1,\mathrm{},4)`$ for the neutralinos, and $`(j=1,\mathrm{},3)`$ for the neutrinos. One of the neutrino species acquire a tree level non–zero mass, given by:

$$m_{\nu _3}=Tr(m_{eff})=\frac{M_1g^2+M_2g_{}^{}{}_{}{}^{2}}{4det(_{\chi ^0})}|\stackrel{}{\mathrm{\Lambda }}|^2,$$
(35)
where $`|\stackrel{}{\mathrm{\Lambda }}|^2_{i=1}^3\mathrm{\Lambda }_i^2`$. The $`\mathrm{\Lambda }_i`$ parameters are defined as:

$$\mathrm{\Lambda }_i\mu v_i+v_dϵ_i$$
(36)
The two other neutrinos can get masses at one–loop as it is discussed in Ref. . For our purposes it will be important to have an estimate of the values of $`\mathrm{\Delta }m_{12}^2=m_{\nu _2}^2m_{\nu _1}^2`$. We will use the results of Ref.  where it was found that, to a very good approximation, $`m_{\nu _1}=0`$ and

$$m_{\nu _2}=\frac{3}{16\pi ^2}m_b\mathrm{sin}^2\theta _b\frac{h_b^2}{\mu ^2}\mathrm{log}\frac{m_{\stackrel{~}{b}_2}^2}{m_{\stackrel{~}{b}_1}^2}\frac{\left(\stackrel{}{ϵ}\times \stackrel{}{\mathrm{\Lambda }}\right)^2}{|\stackrel{}{\mathrm{\Lambda }}|^2}$$
(37)
The one–loop contributions to $`A_{L,R}`$ in eq. 2 arise from the diagrams of Fig. 4. We follow the notation of  indicating by $`S^\pm `$ the eigenstates of the charged scalar mass matrix, by $`S^0`$ and $`P^0`$ the eigenstates for the sneutrino–Higgs scalar mass matrices, CP–even and CP–odd, respectively.

For the example considered in Fig. 5 we take, $`\mathrm{tan}\beta =30`$, $`m_{1/2}=400\mathrm{GeV}`$, $`m_0=300\mathrm{GeV}`$, $`A_0=0`$, in order to compare our results with the ones presented in the previous section. We take a $`m_{\nu _3}=0.1\mathrm{eV}`$, which leads to values of the $`|\stackrel{}{\mathrm{\Lambda }}|`$ in the range of $`0.11\mathrm{GeV}^2`$, for the values of the SUSY parameters that we will consider. Considering that we take positive values for $`\mu `$ we should also take negative values for the product $`ϵ_iv_i`$ to avoid our analysis to be constrained to small values of $`ϵ_i`$.

The six free BRpV breaking parameters $`ϵ_i,v_i`$ reduce to three if we take into account the constraints imposed by the predictions for neutrino oscillations in this model, as given in Ref. . It was shown in this reference that the conditions $`\mathrm{\Lambda }_3\mathrm{\Lambda }_25\times \mathrm{\Lambda }_1`$ satisfy both the atmospheric neutrino anomaly mixings and the CHOOZ result . We then obtain a linear relationship between each couple $`ϵ_i,v_i`$.

We can compare the results presented in Fig. 5 with predictions for $`BR(\mu e\gamma )`$ presented in the previous section. As we can see in Fig. 3, the choice of MSSM parameters used in Fig. 5 corresponds to a value between $`10^{12}`$ and $`10^{13}`$ for $`BR(\mu e\gamma )`$. These values will be reached in the BRpV case for values of $`|ϵ_1|`$ and $`|ϵ_2|`$ ranging from $`1`$ to $`10`$ GeV (independently of the value of $`ϵ_3`$). Values in the range of $`0.1`$ to $`1`$ GeV would lead to rates of order $`10^{14}10^{16}`$, still interesting for the next generation experiments . Such values of $`|ϵ_i|`$ are however excluded if one takes into account the constraint coming from the solar neutrinos mass scale. This is shown in Fig. 5, where the dashed line gives the upper limit on the $`|ϵ_i|`$ as obtained from Eq. (37) for the requirement that $`m_{\nu _2}<0.01\mathrm{eV}`$. As it is discussed in Ref. , the parameters which enhances the ratios also make $`m_{\nu _2}`$ larger. From eq.(37) we can observe that $`m_{\nu _2}`$ increases with $`\mathrm{tan}\beta `$ (through the dependence on $`h_b`$) and decreases as the $`\mu `$-term increases (i.e with $`m_{1/2}`$ and $`m_0`$).

Contributions to $`\delta a_\mu `$ arising from the BRpV terms are found to be small compared with the MSSM limit. The corresponding values for the partial contributions from the diagrams of Fig. 4 can be found in Ref. . Also the prediction of the model for $`\tau \mu \gamma `$ rates is of the same order of the $`BR(\mu e\gamma )`$ presented here, therefore out of the experimental range.

## 6 Conclusions

We had reviewed the predictions for the rare lepton decays BR($`\mu e\gamma `$) and BR($`\tau \mu \gamma `$) in the context of SUSY models. The first scenario was used to explain how the nature of the soft–terms combined with a non–trivial texture for the charged lepton Yukawa couplings turns into a prediction for charged lepton flavor violation. In the second scenario, these conditions are obtained when neutrino flavor oscillations are explained trough a “see-saw” mechanism. The predicted rates in both scenarios are of experimental interest and will be tested at PSI  or at PRISM  providing a relevant information on the free parameters of the models.

The obtained results for the $`\mu e\gamma `$ in our third scenario show us that if the BRpV model is the explanation for both the solar and atmospheric neutrino oscillations, the predicted LFV will not be testable in planned experiments. The correlations of the BRpV parameters with the neutralino decays, as proposed in Ref. , will remain the main test of the model.

ACKNOWLEDGMENTS: This project was supported in part by the TMR Network of the EC under contract HPRN-CT-2000-00148. We acknowledge support from the ‘Fundação para a Ciência e Tecnologia’ under contracts PRAXIS XXI/ BD/9416/96 (D. F. C.) and SFRH/BPD/5711/2001 (M. E. G).


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# Entropy and Long range correlations in literary English

## Abstract

We investigated long range correlations in two literary texts, Moby Dick by H. Melville and Grimm’s tales. The analysis is based on the calculation of entropy like quantities as the mutual information for pairs of letters and the entropy, the mean uncertainty, per letter. We further estimate the number of different subwords of a given length $`n`$. Filtering out the contributions due to the effects of the finite length of the texts, we find correlations ranging to a few hundred letters. Scaling laws for the mutual information (decay with a power law), for the entropy per letter (decay with the inverse square root of $`n`$) and for the word numbers (stretched exponential growth with $`n`$ and with a power law of the text length) were found.

From a formal point of view a book may be considered as a linear string of letters. In this respect there exists a similarity to other linear structures . Usually the strings generated by dynamical systems show only short range correlations, except under critical conditions where, in analogy to equilibrium phase transitions , correlations on all scales may be observed . Recently several studies on long range correlations in DNA sequences  and in human writings  have been published. The intrinsic difficulties connected with the analysis of long range correlations in DNA led to a controversial discussion about the authentic character of long range structures in DNA .

This work is devoted to the investigation of long range correlations in texts. We use the methods of entropy analysis, which were first applied to texts by Claude Shannon in 1951 . For several reasons we expect the existence of long range structures in these sequences. Since a book is written in a unique style and according to a general plan of the author, we expect correlations which are ranging from the beginning of a text up to the end .

Another strong argument for long correlations is based on the combinatorial explosion. Uncorrelated sequences generated on an alphabet of $`\lambda `$ letters have a manifold of $`\lambda ^n`$ different subwords of length $`n`$. A subword (block) is here any combination of letters including the space, punctuation marks and numbers. For $`n>100`$ the number $`N(n)`$ is extremely large. Hence we we must expect that only a very small subset $`N^{}(n)`$ of the possible words appears in a text. Bounds of this kind are given by the rules of writing texts, i.e. by the rules of syntax as well as by semantic relations, which do not allow for an arbitrary concatenation of letters to words and of words to sentences. The problem we address here is, whether the function $`N^{}(n)`$ follows a simple scaling law.

In earlier papers the conjecture has been made that the number of allowed subwords scales according to a stretched exponential law

$$N^{}(n)\mathrm{exp}[cn^\alpha ]\mathrm{with}\alpha <1,c=const.$$
(1)
The the scaling rule (1) reduces the number of the allowed subwords drastically ($`N^{}(n)\lambda ^n`$) for large $`n`$. In order to describe a given string of length $`L`$ using an alphabet of $`\lambda `$ letters we introduce the following notations : Let $`A_1A_2\mathrm{}A_n`$ be the letters of a given substring of length $`nL`$. Let further $`p^{(n)}(A_1\mathrm{}A_n)`$ be the probability for this substring (block). A special case is the probability to find a pair with $`(n2)`$ arbitrary letters in between $`p^{(n)}(A_1,A_n)`$. Then we may introduce the mutual information for two letters in distance $`n`$ :

$$I(n)=\underset{A_iA_j}{}p^{(n)}(A_i,A_j)\mathrm{log}\left[\frac{p^{(n)}(A_i,A_j)}{p^{(1)}(A_i)p^{(1)}(A_j)}\right]$$
(2)
which is closely related to the autocorrelation function . Further we define the entropy per block of length $`n`$ :

$$H_n=p^{(n)}(A_1\mathrm{}A_n)\mathrm{log}p^{(n)}(A_1\mathrm{}A_n).$$
(3)
The block entropy is related to the mean number of words  by

$$N^{}(n)\lambda ^{H_n}.$$
(4)
As shown already by Shannon $`H_n/n`$ is an important quantity expressing the structure of sequences. In  we assumed the scaling

$$\begin{array}{c}H_n/n=h+gn^{\mu _01}+e/n\hfill \\ 0\mu _0<1,n\mathrm{}.\hfill \end{array}$$
(5)
Here $`h`$, the limit of the mean uncertainty, is called the entropy of the source. This quantity is positive for stochastic as well as for chaotic processes, $`g`$ and $`e`$ are constants; if $`h,e>0`$ and $`g=0`$ the correlations in the string are short range corresponding to a Markov process with a finite memory . For periodic strings one finds $`h=g=0`$, $`e>0`$. The existence of a long range order in strings may be characterized by the condition $`g>0`$ describing a slowly decaying contribution to the asymptotics of the entropy per letter for large $`n`$. Of special interest for the further consideration of texts is the case $`h1`$, $`g>0`$ corresponding to a power law tail of the entropy decaying slower than $`1/n`$. It would be interesting and important to estimate the limit entropy $`h`$ for “homogeneous texts”, however, there are not enough data to do it with sufficient reliability. In the following we assume that $`h0.01\mathrm{}0.1`$. Therefore it may be neglected in our investigations which are restricted to $`n<30`$.

The mutual information is not a monotonic function of $`n`$. We define long range effects by power law tails of the averaged mutual information $`I(n)`$. Here the averaging is carried out over a window comprising several of the typical oscillations (fluctuations). Several authors have demonstrated that DNA-sequences show a slowly decaying fluctuations at large scales .

We will apply the methods of entropy analysis to literary English represented by the books: “Moby Dick” by Melville ($`L1,170,200`$) and Grimm’s Tales ($`L1,435,800`$). Pieces of music may be treated in a similar way . For simplification we use an alphabet consisting of $`\lambda =32`$ symbols: the small letters a $`\mathrm{}`$ z the marks , . ( ) #  and the space; # stands for any number. In order to get a better statistics we have used for the entropy calculations also a restricted alphabet consisting of only $`\lambda =3`$ letters 0, M, L. 0 codes for vowels, M for consonants and L for spaces and marks.

To estimate the mutual information we count frequencies of pairs of letters at distance $`n`$. Fig. 1 shows the mutual information calculated for Moby Dick and for Grimm’s Tales ($`\lambda =32`$). The results show well expressed correlations in the range $`n=1\mathrm{}25`$ which are followed by a long slowly decaying tail. The obtained values for the transinformation $`I(k)`$ become meaningless if they are smaller than the level of the fluctuations $`\delta I(k)`$ due to the finite length $`L`$ of the text :

$$\delta I(k)=\frac{\lambda ^22\lambda }{2\mathrm{ln}\lambda L}.$$
(6)
For our rather long texts with $`L>10^6`$ the fluctuation level has a value of about $`10^4`$. The smoothed values for the mutual information for the range $`n=25\mathrm{}1000`$ may be fitted by the scaling law $`I(k)=c_1n^{0.37}+c_2`$ with $`c_1=1.510^4`$, $`c_2=1.110^4`$. The constant $`c_2`$ corresponds here to the level of fluctuations. Our results show that long texts show pair correlations which decay, at least up to distances of several hundred letters, according to a power law, however, in the range $`n=100\mathrm{}1000`$ the fluctuations are rather strong and the mean square deviation reaches $`20\mathrm{}40\%`$.

For the calculation of entropies we count the frequencies of subwords, where a subword of length $`n`$ is defined as any combination of $`n`$ letters. The results for $`n=4,9,16,25`$ letters in Grimm’s Tales are shown in Fig. 2 in a rank ordered representation. The structure of the rank ordered distributions is for both texts rather similar, however the list of words is of course very different.

The form of the subword distributions is distinctly not Zipf–like, it does not follow a power law. In the opposite, with increasing $`n`$ there is a tendency to form a plateau . The effects due to finite $`n`$ and the effects of finite length $`L`$ tend to smooth the edges of the distribution . The importance of length corrections for estimating the frequencies of subwords was considered by several authors . For a deeper analysis of this problem we refer to recent articles . Our method for the entropy analysis uses an extrapolation of the entropy to infinite text length .

The probabilities which we need for the calculation of entropies are unknown and can only be estimated from the frequencies $`N_i(n)`$ of the subwords of length $`n`$ in a text of length $`L`$ containing $`N=L+1n`$ subwords. Introducing the observed subword frequencies into the entropy definition leads to the observed entropies

$$H_n^{obs}=\mathrm{log}(N)\frac{1}{N}\underset{i}{}N_i(n)\mathrm{log}\left(N_i(n)\right).$$
(7)
This is a random variable with the expectation value

$$H_n^{exp}=H_n^{obs}=\mathrm{log}(N)\frac{1}{N}\underset{i}{}N_i(n)\mathrm{log}\left(N_i(n)\right).$$
(8)
Assuming a Bernoulli distribution for the letter combinations, the mean values can be calculated explicitly . The result is

$$H_n^{exp}=\{\begin{array}{cc}H_n\frac{N^{}(n)}{2N}\hfill & \mathrm{if}N^{}(n)N\hfill \\ \mathrm{log}(N)\mathrm{log}(2)\frac{N}{N^{}(n)}\hfill & \mathrm{if}N^{}(n)N.\hfill \end{array}$$
(9)
The latter case corresponds to the situation that only a minor part of the possible subwords of length $`n`$ have a chance to appear in the text.

The relation between the effective number of words $`N^{}(n)`$ and the block entropy $`H_n`$ is given by eq. (4). Hence the expected block entropy may be represented as a function of $`\mathrm{log}N`$ with one free parameter $`H_n`$ which is found by fitting the curves. In this way the block entropies for both books were calculated up to $`n=26`$. For small word length i.e. $`n16`$ for $`\lambda =3`$ and $`n5`$ for $`\lambda =32`$, we used the approximation (9) for $`N^{}(n)N`$. For larger $`n`$, i.e. $`n20`$ for $`\lambda =3`$ and $`n10`$ for $`\lambda =32`$, we applied the approximation (9) valid for $`N^{}(n)N`$. More concrete, we measured the deviation between the observed entropy and $`\mathrm{log}(N)`$. Then the theoretical entropy $`H_n`$ was estimated from $`N^{}(n)`$ using eq. (4). In the intermediate region we applied a smooth Padé approximation between both formulae. In a procedure of successive approximations the entropy $`H_n`$ was considered as a free parameter which was fitted in a way that $`H_n^{exp}(\mathrm{log}N)`$ came as close as possible to the measured (observed) entropy values. In practice this method breaks down for $`n30`$ if $`\lambda =3`$ and for $`n25`$ if $`\lambda =32`$. Longer subwords do not have a chance to appear several times in the text, what leads to large statistical errors.

The calculations for $`n26`$ show that the square root law yields a reasonable approximation for the scaling of the entropy per letter with the word length $`n`$

$$\begin{array}{cccccc}H_n/(n\mathrm{log}(\lambda ))\hfill & \hfill & (4.84/\sqrt{n})\hfill & (7.57/n)\hfill & (\lambda =3)\hfill & \\ H_n/(n\mathrm{log}(\lambda ))\hfill & \hfill & (0.9/\sqrt{n})\hfill & +(1.7/n)\hfill & (\lambda =32).\hfill & \end{array}$$
(10)
Fig. 3 shows the fit for the alphabet $`\lambda =3`$. The scaling law of the square root type was first found by Hilberg  by fitting Shannons original data. For $`n=100`$ and $`\lambda =32`$ our scaling formula yields $`H_{100}10\mathrm{log}(\lambda )`$ what is not far from Shannon’s estimation $`H_{100}40`$ bits.

The number of subwords increases according to a stressed exponential law. For the growth we found the approximation

$`N_n^{}`$ $`2^{7.45\sqrt{n}11.3}`$ $`(\lambda =3)`$ (11)
$`N_n^{}`$ $`2^{4.5\sqrt{n}+8.5}`$ $`(\lambda =32).`$ (12)
We summarize now the results obtained for the two books: The scaling of the mutual information and the entropy per letter shows in agreement with earlier work  that long texts are neither periodic nor chaotic but somehow in between. Taking into account length corrections we calculated block entropies up to $`n=26`$ and mutual information values up to distances of a few hundred letters. Based on these data we formulated a hypothesis about the long range scaling. For the range $`n100`$ the pair correlations contained in the transinformation of long texts $`L>10^6`$ decay according to a power law, however the level of fluctuations is rather high. A reliable estimation of the block entropies for $`n>30`$ is still an open question. The results for the entropy of the two books suggest in agreement with Shannon‘s data and Hilberg‘s findings that the mean entropy per letter decays to its limit according to a square root law. As a consequence the number of different subwords in texts increases with the number of letters $`n`$ according to a stretched exponential law. Our estimations for the growth yield for $`n=100`$ a total number of about $`2^{53}`$ different subwords. Most of the subwords which would be possible from the combinatorial point of view are actually forbidden and do not appear in real texts. We investigated also how the number of genuine English words $`N(L)`$ (formally defined here as sequences of letters between spaces and/or marks) increases with the length $`L`$ of a text. For Grimm’s Tales we found the scaling law $`N(L)=22.8L^{0.46}`$, i.e. reading the book we find permanently new words.

More empirical data on long texts and further studies of the statistical effects due to finite length of the samples are needed in order to reach a more definite conclusion about the scaling properties.

\***

The authors thank K. Albrecht, T. Boseniuk, J. Freund, H. Herzel, G. Nicolis and A. Schmitt for fruitful discussions. Further we thank the Project Gutenberg Etext at Illinois Benedictine College for providing the ASCII-files of the investigated literature.


text:
# Inverse velocity statistics in two dimensional turbulence

## I Introduction

Many natural phenomena display complex fluctuations over a wide range of spatial and temporal scales. Complexity usually manifests in the non-Gaussian properties of probability distribution functions (PDF). When PDFs at different scales do not collapse by a simple rescaling procedure one speaks about intermittency . Such non-trivial rescaling properties may be exhibited by PDFs’ tails or peaks, or both . When intermittency manifests in the PDF’s tails, it means that regions of very intense bursting activity are present. This is typical of three dimensional turbulent flows, where the velocity field is strongly intermittent and rough .
However, there are examples of other important natural phenomena which develop simple PDF’s tails but non-trivial PDF’s cores. PDF’s peaks are associated to laminar fluctuations, i.e., “smooth” variations of the field. A physically relevant example is offered by two dimensional turbulent flows where the presence of long living coherent structures, e.g., vortices, is very well known (see Figure 1). Two dimensional turbulence is characterized by two different transport processes : an inverse energy cascade from the forcing scale to larger scales and a direct enstrophy cascade from the forcing scale to smaller scales . Inverse energy cascade shows a non intermittent Kolmogorov 1941 scaling for the velocity field . On the contrary, in the direct cascade non-trivial vorticity fluctuations have been observed in dependence on the large scales characteristics of the flow . In addition, velocity fluctuations in the direct enstrophy cascade regime are particularly interesting for geophysical and astrophysical sciences . In this regime, the velocity field is differentiable, therefore the standard analysis (customarily applied in 3d turbulence), based on moments of velocity increments (the so-called structure functions) is poorly informative. Indeed structure functions are dominated by the differential component of the signal:

$$S_p(r)=[s(x+r)s(x)]^pr^p,$$
(1)
where with $`s`$ we indicate either the $`u_x`$ or the $`u_y`$ velocity fields component. It is worth stressing that the scaling behavior (1) does not imply that the velocity statistics is trivial. For example, it is well known that in the enstrophy cascade regime the energy spectrum shows a power law $`E(k)k^\alpha `$ with $`\alpha 3`$, which is the signature of significant more-than-differentiable velocity fluctuations. Hence, subdominat contributions to the $`s(x+r)s(x)r`$ behavior must be present and, in principle, detectable. The triviality of the scaling (1) it is just the consequence of not having chosen the suitable observable. Therefore, to extract interesting information on the statistics of smooth signals, new statistical tools are needed.
Recent contributions have shown that laminar events are optimally characterized in terms of their exit-distance statistics, also known as inverse statistics . In a nutshell, in such approach one “inverts” the usual way of looking at signals. Standard analysis studies the statistics of signal increments over a certain spatial (or temporal) interval; the exit-distance approach looks at the statistics of spatial (temporal) intervals necessary to observe a given signal increment. Another possibility to study smooth signals is to eliminate the differentiable contribution by looking at signal Second Differences (SD), i.e., $`(s(x+r)2s(x)+s(xr))`$ as suggested in .
In this paper we extend a previous exploratory investigation  of the inverse statistics of velocity fields in the enstrophy cascade regime of $`2D`$ turbulence, and we compare it with results obtained by Second Difference statistics on the same flows. We present both exact analytical results for the exit-distance probability density functions of 1D Gaussian signal, and a set of numerical investigations of spatial and temporal statistics of 2D turbulent flows. The main result is the identification of highly non-trivial contributions to the more-than-differentiable velocity fluctuations. We also introduce a set of exponents which characterizes smooth behaviors beyond that of the energy spectrum, $`\alpha `$, $`E(k)k^\alpha `$.
The paper is organized as follows. In section II, we recall some known results on 2D turbulent flows in the presence of a drag mechanism at large scales. In section III, we introduce the main observables, i.e., the inverse structure functions and the the Second Difference structure functions : we first apply them to the analysis of stochastic signals with a given spectrum $`E(k)k^\alpha `$, for which we are able to establish some exact results. Then in section IV, we present the spatial statistics of laminar fluctuations of the two dimensional velocity field $`𝒖`$ obtained by direct numerical simulations (DNS). In section V, we perform a temporal analysis of the velocity field on fixed spatial locations. Section VI is devoted to conclusive remarks.

## II Two dimensional turbulence

As far as the inertial range of scales for the enstrophy cascade of two-dimensional turbulence is concerned, previous experimental, theoretical and numerical studies have shown that the statistics is strongly influenced by large-scale phenomena. Indeed more than smooth spectra $`E(k)k^\alpha `$ with $`\alpha >3`$, depending on the characteristics of the forcing and of the large-scale dissipation, have been reported . Recently, new results have clarified the problem in the special case of the large scale energy sink given by a linear (Eckman) friction . We recall that the presence of an energy sink at large scales is conceptually justified by the necessity of avoiding the pile up of energy on the gravest mode as a result of the inverse energy cascade  and it is physically motivated in terms of the friction to which a fluid is subjected in the Eckman layer .
The strong influence of large-scale phenomena in the whole enstrophy cascade range is believed to be a consequence of non local interactions (in Fourier space). Another property associated to the enstrophy cascade is the velocity field smoothness. The aim of this paper is to discuss a new set of observable suitable to highlight the statistics of all those fluctuations which appear as a sub-leading contribution to the smooth differentiable behavior, $`u(x+r)u(x)r`$.
Let us now briefly fix the notation. In terms of the scalar vorticity $`\omega =\times 𝒖`$, the equation of motion can be written as

$$_t\omega +𝒖\omega =\nu _q\mathrm{\Delta }^q\omega \beta _\rho \mathrm{\Delta }^\rho \omega +F,$$
(2)
where $`\nu _q`$ and $`\beta _\rho `$ ($`q,\rho 0`$) are the coefficients of the generalized dissipations, namely the hyper-dissipative and the hypo-friction terms respectively. The former removes enstrophy at small scales and the latter removes energy at large scales. $`F`$ is the vorticity source term acting at large scales. In Fig. 1, we show a typical snapshot of the vorticity field obtained by direct numerical simulation of Eq. (2). As one can see the vorticity field is characterized by filamental structure over a wide range of scales.
According to the classical prediction , the velocity field should exhibit a Batchelor-Kraichnan spectrum, $`E(k)k^3(\mathrm{ln}(k))^{1/3}`$. The dimensional estimate is observed in a bunch of numerical and experimental measurements . However, in the literature there are reported numerous situations  where different velocity spectra have been measured : $`E(k)k^\alpha `$, with the exponent $`\alpha `$ larger than $`3`$ and dependent on the forcing and drag mechanisms. In the case of linear friction, ($`\rho =0`$), it is known that vorticity statistics is intermittent. In such a case, it has been recently clarified  that, at scales small enough, vorticity behaves as a passive scalar. In addition, the dependency of the spectrum slope on the linear-friction coefficient has been understood . Except for the situation with a large-scale linear friction, there is no general theory for the scaling properties of $`2D`$ turbulent flows in the presence of different large-scale drag mechanisms (see also ).
Let us therefore present the way we analyzed 2D turbulent flows with general large-scale physics and the related results on their statistics.

## III Inverse and direct statistics for smooth signals

In this section we introduce the inverse statistics and the second difference structure functions. We start applying them to the analysis of stochastic one-dimensional signals with a given spectrum $`E(k)k^\alpha `$. For the sake of simplicity we limit our discussion to signals with $`3\alpha <5`$, for which we are able to establish some exact results. To be more precise, we consider smooth random signals built as follows

$$s(x)=\underset{k}{}\widehat{s}(k)e^{i(kx+\theta _k)},$$
(3)
where $`|\widehat{s}(k)|^2k^\alpha `$ and $`\theta _k`$ are random phases, uniformly distributed in $`[0,2\pi )`$. When $`3\alpha <5`$ the signal is smooth but only one time differentiable. Hence, moments of its differences over any increment $`r`$ always possess a differentiable scaling (1), while moments of order $`p1`$ do not exist.

### A Inverse statistics

For a generic smooth one-dimensional signal $`s(x)`$, looking at inverse statistics consists in measuring moments of the distance, $`r(\delta s)`$, necessary to observe in the signal a double exit (forward and backward) through a barrier $`\delta s`$.

We fix a value for the signal fluctuation, $`\delta s`$, then we pick at random a reference point $`x_0`$ and measure the first forward ($`|s(x_0+r_f)s(x_0)|\delta s`$) and backward ($`|s(x_0r_b)s(x_0)|\delta s`$) exit from the barrier, $`r(\delta s)`$. Then we put $`r(x_0,\delta s)=r_b+r_f`$. See Fig. 2 for a pictorial view of the method. Repeating the observations for many point $`x_0`$ and for different barrier heights, we can define the inverse structure functions  as

$$T^{(p)}(\delta s)=r^p(\delta s)\delta s^{\chi (p)},$$
(4)
where the average is taken with respect to the random choice of the point $`x_0`$ . For the case of simple signals such as (3), a rigorous estimate of the scaling exponents of inverse statistics moments can be derived as follows. If the signal spectrum is $`E(k)k^\alpha `$ with $`3\alpha <\mathrm{\hspace{0.17em}5}`$, we can write the signal increment as

$$s(x+r)s(x)\frac{ds(x)}{dx}r+c(x)r^h.$$
(5)
Here we have only kept the two most important scaling behaviors: $`O(r)`$ because of the differentiability and $`O(r^h)`$ from the spectrum exponent. The scaling exponent $`1h<2`$ is related to the spectrum slope by the dimensional relation $`\alpha =1+2h`$, while $`c(x)`$ is a continuous function of $`x`$. By studying the exit event, in the limit of a small barrier height, we may observe two different kinds of event. The first, with probability one, is the differentiable scaling $`r(\delta s)\delta s`$. The second, observed at those points where the first derivative vanishes, is the subleading behavior, $`O(r^h)`$, in (5).
One may estimate the probability of this second situation as follows. With $`3\alpha <5`$ the first derivative is a self-affine signal with Hölder exponent $`\xi =(h1)<1`$, which vanishes on a fractal set of dimension $`D=1\xi =2h`$. Therefore, the probability to see the sub-leading term $`O(r^h)`$ dominating the exit event in (5) is given by the probability to pick at random a point on a fractal set of dimension $`D`$, i.e.,

$$P(r(\delta s)^{1/h})r^{1D}=(\delta s)^{11/h}.$$
(6)
Taking into account both events, we end with the following bifractal prediction for inverse statistics moments :

$$T^{(p)}(\delta s)(\delta s)^{\chi _{\mathrm{bf}}(p)},\chi _{\mathrm{bf}}(p)=\mathrm{min}(p,\frac{p}{h}+1\frac{1}{h}).$$
(7)
From (7), we conclude that laminar differentiable fluctuations influence the inverse statistics only up to moments of order $`p=1`$; for larger $`p`$, the PDF is dominated by the sub-dominant behavior, $`(s(x+r)s(x))r^h`$. In other words, the extrema of the signal play the role of singularities for the inverse statistics : close to the extrema, events with much longer exit distances are observed when $`\delta s0`$. For one-dimensional signals as (3) the prediction is verified with high accuracy (see Fig. 3).
In the general multiaffine case, signal increments scale as $`\delta _rs(x)r^{h(x)}`$ with probability $`P_r(h)r^{\mathrm{\hspace{0.17em}1}D(h)}`$, where the function $`D(h)`$ can be interpreted as the fractal dimension of the set where the Hölder exponent $`h`$ is observed .
For such a signal, it is possible to obtain  a link between the inverse statistics exponents, $`\chi (p)`$, and the fractal dimension, $`D(h)`$:

$$\chi (p)=\underset{h}{\mathrm{min}}\left(\frac{p+1D(h)}{h}\right).$$
(8)
In the case of the smooth signal (3), one can see that (8) coincides with the bifractal prediction (7), as soon as we write $`D(h)=2h`$ for $`h(1,(\alpha 1)/2)`$.

### B Second Difference structure functions

Another way to eliminate the trivial differential scaling and extract some statistical information from smooth signals has been suggested in . The basic idea is to consider moments of the second difference $`\mathrm{\Delta }_rs(s(x+r)+s(xr)2s(x))`$, so that the differentiable contribution, $`\delta _rsr`$, is automatically eliminated. For the signals under investigation, we have that at the leading order $`\mathrm{\Delta }_rsr^h`$ with $`1h<2`$, and moments behave as

$$S_{SD}^{(p)}(r)|\mathrm{\Delta }_rs|^pr^{z_p}.$$
(9)
In the monofractal case (globally self-similar signals), one expects $`z_p=ph`$. The analysis done for the same stochastic $`1D`$ signal of (3) with $`h=1.5`$, confirms this expectation (see Fig. 4).
In the general case, i.e., when many more-than-differentiable fluctuations are present, the scaling exponents $`z_p`$ are non-trivially related to the distribution of the $`h`$ exponents. The difficulty to give a multifractal prediction for $`\mathrm{\Delta }_rs`$ increments stems from the fact that it is a three-point quantity, depending on the simultaneous fluctuations between ($`x`$, $`xr`$) and ($`x`$, $`x+r`$). Therefore, to draw the multifractal picture, we would need in addition a complete control of the spatial correlations. Something which is in principle feasible  but which goes beyond the aim of this paper.

## IV Spatial statistics in $`2D`$ smooth velocity fields

Let us now analyse the inverse and second difference statistics of the two dimensional velocity field obtained by DNS of the Navier-Stokes equation (2). We performed four different sets of numerical experiments, with periodic boundary conditions on a spatial grid of $`1024^2`$ collocation points. In all of them, we considered a Gaussian forcing, $`\delta `$-correlated in time, with support in a restricted band of wave numbers $`4<k_f6`$.

In three out of four simulations, we used Eckman linear friction, i.e. $`\rho =0`$ in (2) with different coefficients (simulations A,B,C, in the following). In the fourth run, we used a hypo-diffusive term at large scales, $`\rho =2`$, (referred as case D in what follows). Table 1 is a summary of the DNS parameters, together with the best-fit spectrum exponent $`\alpha `$ for all runs.
In Fig. 5 we show the averaged velocity spectrum for run B,C and D (run A gives a slope almost coincident with that of run D). By comparing them, it is evident that the spectrum slope depends on both the drag coefficient (runs A,B and C) and on the drag mechanism (run D).
Evidently, we are in presence of large-scales effects which somehow affects small scales velocity fluctuations. Let us try to quantify this statement by using the inverse statistics analysis. First we compare the inverse structure functions measured on several snapshots of the DNS, with those obtained after randomization of all velocity phases on the same frames. The rationale for this test is to investigate the importance of correlations between fluctuations at different wave-numbers and therefore the “information” content brought by coherent structures in 2D turbulent flows.
If we look at a one-dimensional cut of the velocity field, before and after phases randomization, it is rather difficult to distinguish the original DNS field from that-one with randomized phases. This is due to the steepness of the spectrum, i.e., only few modes dominate the real-space configuration. Despite the apparent similarity big differences arise when looking at inverse moments.
Because of the limited numerical resolution, the only quantitative statements one can give are for relative scaling properties. Therefore, we measure scaling laws of the inverse statistics by plotting all moments $`T^{(p)}(\delta u)`$ versus a reference one, say $`T^{(2)}(\delta u)`$. This is the same technique called ESS , fruitfully applied in the analysis of $`3D`$ turbulent data with the aim of re-absorbing some finite size effects and extracting scaling information also at moderate resolution. Therefore, we concentrate on the following relative scaling properties :

$$T^{(p)}(\delta u)(T^{(2)}(\delta u))^{\chi (p)/\chi (2)}.$$

In Figs. 6 we summarize our findings. Inverse moment exponents, $`\chi (p)/\chi (2)`$, measured on the turbulent fields with randomized phases follow the bifractal prediction (7), with the value of $`h`$ extracted from the spectrum (see Table 1). Conversely, the longitudinal and transversal inverse-statistics moments without phases randomization show anomalous scaling laws, which deviate from the bifractal law given in (7). In Figs. 6, we show the curve $`\chi (p)/\chi (2)`$ for both randomized and non-randomized transversal exit moments for run C and D. For $`p<1`$, the statistics of the randomized data and that of the turbulent data almost coincide being those moments (with $`0<p<1`$) dominated by the laminar fluctuations $`u(x+r)u(x)r`$. To better appreciate differences in the scaling curves, we show in the inset of Figs. 6 the local slopes of $`T^{(4)}(\delta u)`$ versus $`T^{(2)}(\delta u)`$, for the randomized and non randomized data.
The following scenario can be drawn. Randomized data follow the bifractal prediction, while the non randomized ones are definitely different and display anomalous scaling. Moreover, the anomalous scaling is present for all choices of the drag mechanism.

For Second Difference statistics analogous results have been found, that is a monofractal behavior for the randomized field and an anomalous behavior for the turbulent one. In Figs. 7 we show the scaling exponents $`z_p`$ for run (C) and run (D). Longitudinal and transversal components, within the errors, coincide. The SD analysis confirms that the statistics of laminar events for the $`2D`$ turbulent velocity field displays a complex, multifractal structure.
Concerning the case of run C, i.e., with linear friction, it is interesting to compare the results of the Second Difference moments with some recent analytical results . In , it is argued that in presence of linear Eckman friction, the second and third order (standard) structure functions behave as $`S_2(r)=\delta u^2(r)ar^2+br^{2+(\alpha 3)}`$ and $`S_3(r)=(\delta u(r))^3dr^3+er^\alpha `$, being $`\alpha >3`$ the spectrum slope, and $`a,b,d,e`$ some constants. From these results, it is easy to extract the exponents of the SD moments, i.e., $`z_2=\alpha 1`$ and $`z_3=\alpha `$. Actually our data give slightly larger values. Such discrepancies may be due to strong finite Reynolds effects which, in $`2D`$, are particularly severe due to the interplay between inverse cascade and friction in the low $`k`$ region of the spectrum.

## V Temporal statistics

As it is well known, in $`3D`$ turbulence we can recast the temporal behavior of the velocity field into the spatial domain via the Taylor hypothesis (frozen turbulence hypothesis): the effect of large scales is just that of a uniform sweeping which does not modify the small scale structures and their energy content. In $`2D`$ the absence of a time hierarchy rules out such a possibility . This is also evident by looking at snapshots from numerical simulations, which show that the time evolution of the dynamics is dominated by stable, long-lived structures (see Fig. 1). For such a reason it is non trivial to predict the velocity temporal statistics collected in a fixed spatial location.
We performed a DNS of (2) taking as a large-scale forcing a function $`F`$ of constant amplitude at some characteristic wave-numbers $`4<|k_f|6`$ and time-independent. We performed a long time integration of the $`2D`$ N-S equations, at resolution $`512^2`$ and collected statistics for hundreds large eddy turn over times, estimated as $`t_{eddy}1/\omega _{rms}`$ (details on the numerical simulation can be found in ). Once the system reached a stationary state, we started to collect the time evolution of the velocity fields at some specific spatial locations with a sampling time $`\tau _{samp}2.510^2t_{eddy}`$.

Some observations are noteworthy. The first one concerns the ergodicity of the velocity field $`𝒖(𝒙,t)`$. Temporal signals collected at different spatial locations possess different probability distribution functions. In particular the range of variations of the local rms values $`u_{rms}(𝒙_0,t)`$ is so wide that we can not average time histories recorded at different points. It is difficult to say if waiting long enough one would recover, as expected, some stable ergodic properties. Certainly, with our statistics we feel confident to report results only on local averages, avoiding to mix temporal evolutions in different spatial locations.
In particular, we chose to report those describing two typical spatial situations: one, $`p_{in}`$, situated in the core of a vortical structure, the other, $`p_{out}`$, in a laminar region. This means that notwithstanding the turbulent evolution of the field, the motion of the vortices is so slow that probes almost maintain their respective “character” (in and out of a vortex) all the simulation long.
Looking at a sample of the time series recorded by the two probes, the signals seem very different and change when the probe passes from a laminar region to a vortical one (see Fig. 8 (top)). To have a better understanding, it is useful to consider the frequency spectra $`E(\varpi )`$ of the signals, calculated from the temporal Fourier transform of the stationary time correlation function, e.g., of $`C(u_x(p),\tau )=u_x(p,t+\tau )u_x(p,t)`$.
In Fig. 8 (bottom), we can observe the spectra of the two probes. At variance from the spatial spectra, it is not possible to extract a clear scaling behavior. One can only identifies an exponential decay, and a peak region located at the frequency $`\varpi ^{(L)}0.51/t_{eddy}`$ (here and in the sequel “$`(L)`$” stands for “large scale”.) It is easy to recognize that $`T^{(L)}`$, defined as $`T^{(L)}1/\varpi ^{(L)}`$, is the typical time scale associated to the large-scale structures, either estimating it from the vorticity content of the largest structures $`T^{(L)}=1/\sqrt{\omega ^2}`$ or from their typical revolution time. In other words, Fig. 8 (bottom) tell us that in each spatial point the time evolution is governed by the typical oscillation frequency of the forced large-scale structures.
This is confirmed by the comparison of the spectra probes with the spectra built from the time correlation of the Fourier transformed velocity field $`\widehat{𝒖}(𝒌,t)`$, at a given mode, $`𝒌_f`$, belonging to the forced wavenumber band. Indeed, all spectra posses a peak at frequency $`\varpi ^{(L)}`$.
We now pass to investigate direct and inverse statistics of $`𝒖(t)`$. Direct structure functions behave trivially for both probes, $`S_p(\tau )=[u(𝐱_\mathrm{𝟎},t+\tau )u(𝐱_\mathrm{𝟎},t)]^pc_p\tau ^p,`$ where $`u`$ can be either one of the components $`(u_x,u_y)`$ or the velocity modulus.
It turns out that inverse temporal statistics does not posses good scaling laws. Therefore, we refrain from giving any quantitative statement while we concentrate on some qualitative properties showed by PDF’s of temporal inverse events measured at the two probes, $`p_{in}`$ and $`p_{out}`$.
In Fig. 9 we plot, for the probe $`p_{in}`$, various PDFs $`P\left(\tau _{\delta u}/\tau (\delta u)\right)`$, at varying $`\delta u`$, all re-scaled with their mean value $`\tau (\delta u)`$. First, we notice that PDFs collapse very well, indicating the absence of intermittency effects. Second, between the peak and the exponential tails at large $`\tau `$, each probability density function exhibits, on a wide range of scales, a power law behavior $`P(\tau _{\delta u})(\tau _{\delta u})^\gamma `$ with an estimated exponent $`\gamma 1`$. On the other hand, PDFs measured on the probe outside the vortex, $`p_{out}`$, show a very different qualitative trend (inset of Fig. 9). In particular, there is not any clear power law behavior. This indicates that very large exit events become less and less probable outside the probe, something which must have to do with the absence of very smooth fluctuations in the vortex background.

Altough qualitative, the inverse-statistics properties allow to distinguish among different temporal statistical behaviors associated to different fluid regions.

## VI Conclusion

To summarize, we have studied inverse statistics moments for signals with a more than smooth spectrum, i.e., signals which are differentiable and with non-trivial stochastic sub-leading fluctuations. We have shown that statistical velocity properties of 2D turbulent flows are not simply described in terms of the spectrum slope. From the exit-distance analysis it is possible to highlight a whole spectrum of more-than-differentiable fluctuations. These, being connected with laminar events, are the strongest statistical signature of the large-scale coherence. Experiments with different methods of removing/pumping energy at large scales should be performed, to investigate the importance of large-scale structures in the inverse statistics of flows with different spectra. We have quantified laminar fluctuations also by using Second Differences, i.e., direct velocity increments subtracted of their linear differentiable behavior. We have found also in this case that more-than-differentiable fluctuations are not simply described by one single exponent.
As a final remark, we stress that inverse statistics provide a completely new statistical indicator with respect to the standard direct statistics observables. We have shown that such method is necessary in all those cases where non-trivial fluctuations are sub-leading with respect to the differentiable contributions. Obviously, the same kind of analysis here reported can be extended to other temporal signals, applying the method to a broad class of natural phenomena. As an example, we just mention possible applications in situations common to climatology or meteorology where estimating the probability of persistent velocity configurations, or of any other dynamical variable, is relevant. As a perspective, an important generalization is the investigation of multi-dimensional signals by studying the statistics of $`d`$-dimensional volumes between equispaced iso-surfaces.

## VII Acknowledgments

We thank A. Vulpiani for his contribution in the early stage of this work. We acknowledge useful discussions with R. Benzi, G. Boffetta and G. Eyink. This work has been partially supported by the EU under the Grant No. HPRN-CT 2000-00162 “Non Ideal Turbulence” and the Grant ERB FMR XCT 98-0175 “Intermittency in Turbulent Systems”. M.C. is partially supported by the European Network ”Non Ideal Turbulence” (contract number HPRN-CT-2000-00162). We also acknowledge INFM support (Iniziativa di Calcolo Parallelo).