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  5. Distribution of the supremum location of stationary processes

Distribution of the supremum location of stationary processes

File(s)
SupLocSpecial.pdf (411.45 KB)
Main article
Permanent Link(s)
https://hdl.handle.net/1813/24397
Collections
ORIE Technical Reports
Author
Samorodnitsky, Gennady
Shen, Yi
Abstract

The location of the unique supremum of a stationary process on an interval does not need to be uniformly distributed over that interval. We describe all possible distributions of the supremum location for a broad class of such stationary processes. We show that, in the strongly mixing case, this distribution does tend to the uniform in a certain sense as the length of the interval increases to infinity.

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
•
strong mixing
Type
article

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