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2012 Distribution of the supremum location of stationary processes
Gennady Samorodnitsky, Yi Shen
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Electron. J. Probab. 17: 1-17 (2012). DOI: 10.1214/EJP.v17-2069

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.

 

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Gennady Samorodnitsky. Yi Shen. "Distribution of the supremum location of stationary processes." Electron. J. Probab. 17 1 - 17, 2012. https://doi.org/10.1214/EJP.v17-2069

Information

Accepted: 2 June 2012; Published: 2012
First available in Project Euclid: 4 June 2016

zbMATH: 1246.60055
MathSciNet: MR2928725
Digital Object Identifier: 10.1214/EJP.v17-2069

Subjects:
Primary: 60G10
Secondary: 60G17

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