English

Random Locations of Periodic Stationary Processes

Probability 2018-04-06 v3

Abstract

We consider a family of random locations, called intrinsic location functionals, of periodic stationary processes. This family includes but is not limited to the location of the path supremum and first/last hitting times. We first show that the set of all possible distributions of intrinsic location functionals for periodic stationary processes is the convex hull generated by a specific group of distributions. We then focus on two special subclasses of these random locations. For the first subclass, the density has a uniform lower bound; for the second subclass, the possible distributions are closely related to the concept of joint mixability.

Keywords

Cite

@article{arxiv.1603.01527,
  title  = {Random Locations of Periodic Stationary Processes},
  author = {Jie Shen and Yi Shen and Ruodu Wang},
  journal= {arXiv preprint arXiv:1603.01527},
  year   = {2018}
}

Comments

27 pages