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math.PR2026
Clustering of large deviations in heavy-tailed moving averages: the catastrophe principle in the long-memory case
Jiaqi Wang, Gennady Samorodnitsky
Clustering of large deviations events in a stationary stochastic process depends critically on the interplay between the tail behavior of the marginal distribution and the strength…
math.PR2025
Clustering of large deviations events in heavy-tailed moving average processes: the catastrophe principle in the short-memory case
Jiaqi Wang, Gennady Samorodnitsky
How do large deviation events in a stationary process cluster? The answer depends not only on the type of large deviations, but also on the length of memory in the process. Somewha…