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arXiv · 1110.1599

Is the location of the supremum of a stationary process nearly uniformly distributed?

Gennady Samorodnitsky·Yi Shen
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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.

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Gennady Samorodnitsky, Yi Shen. 2013-10-03. Is the location of the supremum of a stationary process nearly uniformly distributed?. https://doi.org/10.1214/12-aop787

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