Distribution of the supremum location of stationary processes
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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
grant W911NF-07-1-0078, NSF grant DMS-1005903 and NSA grant
H98230-11-1-0154
Date Issued
2011-10-07
Keywords
Type
article