Distribution of the supremum location of stationary processes

DOI10.1214/EJP.V17-2069zbMATH Open1246.60055arXiv1110.1605MaRDI QIDQ428663FDOQ428663

Authors: Gennady Samorodnitsky, Yi Shen 

Publication date: 22 June 2012

Published in: Electronic Journal of Probability (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1110.1605

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zbMATH Keywords

strong mixingstationary processbounded variationglobal supremum location

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Sample path properties (60G17)

Cited In (4)

• Estimates of the supremum of a class of stationary random processes
• Random locations of periodic stationary processes
• Random locations, ordered random sets and stationarity
• Is the location of the supremum of a stationary process nearly uniformly distributed?

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