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Random locations of periodic stationary processes

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1-s2.0-S0304414918300723-main.pdf (1.14 MB)

Date

2019-03

Authors

Shen, Jie
Shen, Yi
Wang, Ruodo

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier

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.

Description

The final publication is available at Elsevier via https://doi.org/10.1016/j.spa.2018.03.023. © 2018. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/

Keywords

periodic stationary process, random location, joint mixability

LC Keywords

Citation

URI

https://doi.org/10.1016/j.spa.2018.03.023
 http://hdl.handle.net/10012/15404

Collections

Waterloo Research
Statistics and Actuarial Science