Clustering of large deviations in moving average processes: the long memory regime (Q6171667)
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scientific article; zbMATH DE number 7726176
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Clustering of large deviations in moving average processes: the long memory regime |
scientific article; zbMATH DE number 7726176 |
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Clustering of large deviations in moving average processes: the long memory regime (English)
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14 August 2023
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The authors 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.
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large deviations
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clustering
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infinite moving average
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long memory
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