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

DOI10.1214/23-AAP2037zbMATH Open1546.60051MaRDI QIDQ6591595

Gennady Samorodnitsky, Arijit Chakrabarty

Publication date: 22 August 2024

Published in: The Annals of Applied Probability (Search for Journal in Brave)

zbMATH Keywords

clusteringlarge deviationsinfinite moving average

Mathematics Subject Classification ID

Large deviations (60F10)

Cites Work

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• Strong large deviation and local limit theorems
• Regularly varying multivariate time series
• Moderate deviations for some weakly dependent random processes
• Large deviations of heavy-tailed sums with applications in insurance
• Large and moderate deviations for moving average processes
• Stochastic Processes and Long Range Dependence
• Predicting the Equity Premium with Dividend Ratios
• Heavy-Tailed Time Series
• Clustering of large deviations in moving average processes: the long memory regime

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