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Title: Distribution of the supremum location of stationary processes
Authors: Samorodnitsky, Gennady
Shen, Yi
Keywords: stationary process
global supremum location
bounded variation
strong mixing
Issue Date: 7-Oct-2011
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.
Appears in Collections:ORIE Technical Reports

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