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.
Funding Statement
The second author was partially supported by NSF grant DMS-2015242 and AFOSR grant FA9550-22-1-0091 at Cornell University.
Acknowledgments
Two anonymous referees provided the authors with incredibly useful and insightful comments. We are very grateful.
Citation
Arijit Chakrabarty. Gennady Samorodnitsky. "Clustering of large deviations in moving average processes: The short memory regime." Ann. Appl. Probab. 34 (3) 3227 - 3250, June 2024. https://doi.org/10.1214/23-AAP2037
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