Clustering of large deviations in moving average processes: short and long memory regimes
Date: 23 March 2023, Thursday
Time: 10am AEDT
Statistics
and Stochastic colloquium (part of the Colloquium Series of the
Department of Mathematics and Statistics) at La Trobe University jointly
organized with the Probability Victoria Seminar.
Contact the organizers: Kostya Borovkov kostya.borovkov@gmail.com, Andriy Olenko a.olenko@latrobe.edu.au
Speaker: Prof Gennady Samorodnitsky (Cornell University, United States of America)
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. The cluster turns out to have different shapes in the cases when the moving average process has short memory and long memory.
Joint work with Arijit Chakrabarty.
Zoom meeting link:
https://unimelb.zoom.us/j/88379660402?pwd=bzh6WUM3UFR5dUhnVjFQdWhUOXlCZz09
(if the above link doesn't work when you click it -- please copy & paste it into the address bar in your browser).
Password: 005582 (just in case)
A PDF file with the talk slides might become available for downloading from our seminar Webpage at https://probvic.wordpress.com/pvseminar/ prior to the talk (the above Zoom link is already there).
