Random locations of periodic stationary processes |
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Authors: | Jie Shen Yi Shen Ruodu Wang |
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Affiliation: | University of Waterloo, Waterloo, Ontario N2L 3G1, Canada |
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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. |
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Keywords: | 60G10 60E05 Periodic stationary process Random location Joint mixability |
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