The effect of memory on moving average processes: functional large
deviations, long strange segments and ruin probabilities.
Abstract
The large deviations of an infinite moving average process with
exponentially light tails are very similar to those of an
i.i.d. sequence as long as the coefficients decay fast enough. If they
do not, the large deviations change dramatically. We study this
phenomenon in the context of functional large, moderate and huge
deviation principles. We also look at some application of it in terms of
long strange segments and ruin probability.
R E F R E S H M E N T S
4:00 to 4:25 PM
Kenneth W. Anderson
Memorial Reading Room
