Random locations, ordered random sets and stationarity

DOI10.1016/J.SPA.2015.10.004MaRDI QIDQ5962612zbMATH OpenOpenAlexFDO

Authors Yi Shen

Publication date 15 February 2016

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1412.2452

zbMATH Keywords

ordered random setsrandom locationsstationary increment processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Sample path properties (60G17)

Abstract: Intrinsic location functional is a large class of random locations containing locations that one may encounter in many cases, e.g., the location of the path supremum/infimum over a given interval, the first/last hitting time, etc. It has been shown that this notion is very closely related to stationary stochastic processes, and can be used to characterize stationarity. In this paper the author firstly identifies a subclass of intrinsic location functional and proves that this subclass has a deep relationship to stationary increment processes. Then we describe intrinsic location functionals using random partially ordered point sets and piecewise linear functions. It is proved that each random location in this class corresponds to the location of the maximal element in a random set over an interval, according to certain partial order. Moreover, the locations changes in a very specific way when the interval of interest shifts along the real line. Based on these ideas, a generalization of intrinsic location functional called "local intrinsic location functional" is introduced and its relationship with intrinsic location functional is investigated.

Recommendations

• Random locations of periodic stationary processes
• Intrinsic location functionals of stationary processes
• Spectral representation of intrinsically stationary fields
• Distribution of the supremum location of stationary processes
• Local intrinsic stationarity and its inference

Cites work

• Distribution of the supremum location of stationary processes
• Extremes and related properties of random sequences and processes
• Intrinsic location functionals of stationary processes
• Is the location of the supremum of a stationary process nearly uniformly distributed?

Cited in

(5)

• Location of the path supremum for self-similar processes with stationary increments
• Random locations of periodic stationary processes
• On the favorite points of symmetric Lévy processes
• Intrinsic location functionals of stationary processes
• When are increment-stationary random point sets stationary?

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