Long strange   segments, ruin probabilities and the  effect of memory on moving   average processes

dc.contributor.author	Ghosh, Souvik
dc.date.accessioned	2010-02-15T17:12:36Z
dc.date.available	2010-02-15T17:12:36Z
dc.date.issued	2010-02-15T17:12:36Z
dc.description.abstract	We obtain the rate of growth of long strange segments and the rate of decay of infinite horizon ruin probabilities for a class of infinite moving average processes with exponentially light tails. The rates are computed explicitly. We show that the rates are very similar to those of an i.i.d. process as long as moving average coefficients decay fast enough. If they do not, then the rates are significantly different. This demonstrates the change in the length of memory in a moving average process associated with certain changes in the rate of decay of the coefficients.	en_US
dc.description.sponsorship	NSA grant MSPF-05G-049, ARO grant W911NF-07-1-0078 and NSF training grant ``Graduate and Postdoctoral Training in Probability and Its Applications''	en_US
dc.identifier.uri	https://hdl.handle.net/1813/14476
dc.language.iso	en_US	en_US
dc.subject	ruin probability	en_US
dc.subject	long strange segments	en_US
dc.subject	moving average	en_US
dc.subject	long range dependence	en_US
dc.subject	long memory	en_US
dc.title	Long strange segments, ruin probabilities and the effect of memory on moving average processes	en_US
dc.type	article	en_US

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