Gennady Samorodnitsky (Cornell University, United States of America): Clustering of large deviations in moving average processes: short and long memory regimes


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. The cluster turns out to have different shapes in the cases when the moving average process has short memory and long memory.


Joint work with Arijit Chakrabarty.


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