CLUSTERING OF LARGE DEVIATIONS IN MOVING AVERAGE PROCESSES: THE SHORT MEMORY REGIME

Authors

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

Article Type

Review Article

Publication Title

Annals of Applied Probability

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.

First Page

3227

Last Page

3250

DOI

10.1214/23-AAP2037

Publication Date

6-1-2024

Comments

Open Access; Green Open Access

Recommended Citation

Chakrabarty, Arijit and Samorodnitsky, Gennady, "CLUSTERING OF LARGE DEVIATIONS IN MOVING AVERAGE PROCESSES: THE SHORT MEMORY REGIME" (2024). Journal Articles. 4652.
https://digitalcommons.isical.ac.in/journal-articles/4652