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Title: Is the location of the supremum of a stationary process nearly uniformly distributed?'
Authors: Samorodnitsky, Gennady
Shen, Yi
Keywords: stationary process
global supremum location
bounded variation
Issue Date: 7-Oct-2011
Abstract: It is, perhaps, surprising that the location of the unique supremum of a stationary process on an interval can fail to be uniformly distributed over that interval. We show that this distribution is absolutely continuous in the interior of the interval and describe very specific conditions the density has to satisfy. We establish universal upper bounds on the density and demonstrate their optimality.
Appears in Collections:ORIE Technical Reports

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