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  5. Is the location of the supremum of a stationary process nearly uniformly distributed?'

Is the location of the supremum of a stationary process nearly uniformly distributed?'

File(s)
SupLogGeneral.pdf (431.16 KB)
Main article
Permanent Link(s)
https://hdl.handle.net/1813/24396
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ORIE Technical Reports
Author
Samorodnitsky, Gennady
Shen, Yi
Abstract

It is, perhaps, surprising that the location of the unique supremum of a stationary process on an interval can fail to be uniformly distributed over that interval. We show that this distribution is absolutely continuous in the interior of the interval and describe very specific conditions the density has to satisfy. We establish universal upper bounds on the density and demonstrate their optimality.

Sponsorship
ARO grant W911NF-07-1-0078, NSF grant DMS-1005903 and NSA grant
H98230-11-1-0154
Date Issued
2011-10-07
Keywords
stationary process
•
global supremum location
•
bounded variation
Type
article

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