Clustering of large deviations in moving average processes: The long memory regime

Authors

Arijit Chakrabarty, Indian Statistical Institute, Kolkata
Gennady Samorodnitsky, Cornell University College of Engineering

Article Type

Research Article

Publication Title

Stochastic Processes and their Applications

Abstract

We investigate how large deviations events cluster in the framework of an infinite moving average process with light-tailed noise and long memory. The long memory makes clusters larger, and the asymptotic behaviour of the size of the cluster turns out to be described by the first hitting time of a randomly shifted fractional Brownian motion with drift.

First Page

387

Last Page

423

DOI

https://10.1016/j.spa.2023.06.009

Publication Date

9-1-2023

Comments

Open Access, Green

Recommended Citation

Chakrabarty, Arijit and Samorodnitsky, Gennady, "Clustering of large deviations in moving average processes: The long memory regime" (2023). Journal Articles. 3599.
https://digitalcommons.isical.ac.in/journal-articles/3599