The effect of memory on functional large deviations of infinite moving average processes

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.Comment: 32 pages. We have made some changes in the language and corrected some typos. This will appear in Stochastic Processes and theor Application

Weak limits for exploratory plots in the analysis of extremes

Exploratory data analysis is often used to test the goodness-of-fit of sample observations to specific target distributions. A few such graphical tools have been extensively used to detect subexponential or heavy-tailed behavior in observed data. In this paper we discuss asymptotic limit behavior of two such plotting tools: the quantile-quantile plot and the mean excess plot. The weak consistency of these plots to fixed limit sets in an appropriate topology of $\mathbb{R}^2$ has been shown in Das and Resnick (Stoch. Models 24 (2008) 103-132) and Ghosh and Resnick (Stochastic Process. Appl. 120 (2010) 1492-1517). In this paper we find asymptotic distributional limits for these plots when the underlying distributions have regularly varying right-tails. As an application we construct confidence bounds around the plots which enable us to statistically test whether the underlying distribution is heavy-tailed or not.Comment: Published in at http://dx.doi.org/10.3150/11-BEJ401 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm

A Discussion on Mean Excess Plots

A widely used tool in the study of risk, insurance and extreme values is the mean excess plot. One use is for validating a generalized Pareto model for the excess distribution. This paper investigates some theoretical and practical aspects of the use of the mean excess plot.Comment: 26 pages, 9 figure

Noncommutative Extension of AdS-CFT and Holographic Superconductors

In this Letter, we consider a Non-Commutative (NC) extension of AdS-CFT correspondence and its effects on holographic superconductors. NC corrections are incorporated via the NC generalization of Schwarzschild black hole metric in AdS with the probe limit. We study NC effects on the relations connecting the charge density and the critical temperature of the Holographic Superconductors. Furthermore, condensation operator of the superconductor has been analyzed. Our results suggest that generically, NC effects increase the critical temperature of the holographic superconductor.Comment: One figure is added, modification in formalism and noncommutative effects emergent from star product has been removed. Results altered but main conclusions remain unchanged. To appear in Phys.Lett.