Clustering of large deviations in moving average processes: The long memory regime
نویسندگان
چکیده
We investigate how large deviations events cluster in the framework of an infinite moving average process with light-tailed noise and long memory. The memory makes clusters larger, asymptotic behaviour size turns out to be described by first hitting time a randomly shifted fractional Brownian motion drift.
منابع مشابه
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2023
ISSN: ['1879-209X', '0304-4149']
DOI: https://doi.org/10.1016/j.spa.2023.06.009