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

DOI10.1016/j.spa.2023.06.009zbMath1520.60018arXiv2301.01936OpenAlexW4381620675MaRDI QIDQ6171667

Arijit Chakrabarti, Gennady Samorodnitsky

Publication date: 14 August 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2301.01936

zbMATH Keywords

clusteringlarge deviationslong memoryinfinite moving average

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Large deviations (60F10)

Cites Work

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• The Esseen inequality for sums of a random number of differently distributed random variables
• Stochastic Processes and Long Range Dependence
• Representation Formulae for the Fractional Brownian Motion

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