La Trobe and PV Seminar #44

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Event: PVSeminar #44
Speaker: Gennady Samorodnitsky(Cornell University, United States of America)
Title: Clustering of large deviations in moving average processes: short and long memory regimes
Dates: Thursday 23 March
Recording: https://youtu.be/yVH1wVFyyZU
PDF slides: pvseminar_talk_2023_03_23

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.

A PDF file with the talk slides has been available for downloading from our seminar’s Webpage at https://probvic.wordpress.com/pvseminar/ since prior to the talk. A video-recording of the talk can also be found there.