Clustering of large deviations in moving average processes: the short memory regime
Probability
2023-12-11 v3
Abstract
We describe the cluster of large deviations events that arise when one such large deviations event occurs. We work in the framework of an infinite moving average process with a noise that has finite exponential moments.
Keywords
Cite
@article{arxiv.2208.04582,
title = {Clustering of large deviations in moving average processes: the short memory regime},
author = {Arijit Chakrabarty and Gennady Samorodnitsky},
journal= {arXiv preprint arXiv:2208.04582},
year = {2023}
}
Comments
To appear in the Annals of Applied Probability