Clustering of large deviations in moving average processes: the short memory regime

Arijit Chakrabarty; Gennady Samorodnitsky

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arXiv · 2208.04582

Clustering of large deviations in moving average processes: the short memory regime

Arijit Chakrabarty·Gennady Samorodnitsky

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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.

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Arijit Chakrabarty, Gennady Samorodnitsky. 2022-08-09. Clustering of large deviations in moving average processes: the short memory regime. https://arxiv.org/abs/2208.04582

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