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most citedEfficient rare-event simulation for the maximum of heavy-tailed random walks

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math.ST2011

On the Convergence of Finite Order Approximations of Stationary Time Series

Symantak Datta Gupta, Ravi R. Mazumdar, Peter W. Glynn

The approximation of a stationary time-series by finite order autoregressive (AR) and moving averages (MA) is a problem that occurs in many applications. In this paper we study asy…