Random locations of periodic stationary processes

Jie Shen, Yi Shen and Ruodu Wang

Stochastic Processes and their Applications, 2019, vol. 129, issue 3, 878-901

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: Periodic stationary process; Random location; Joint mixability (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:129:y:2019:i:3:p:878-901

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DOI: 10.1016/j.spa.2018.03.023

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