On the uniqueness of maximizers of Markov-Gaussian processes
Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung
Beitragende
Abstract
Let Y be a nonconstant Markov-Gaussian process with almost sure continuous sample functions. We show that with probability one the original process Y and the reflected process |Y| in each case attain their maximal value at precisely one point. Almost sure uniqueness of maximizers of stochastic processes plays an important role when deriving the limit distribution of M-estimators.
Details
Originalsprache | Englisch |
---|---|
Seiten (von - bis) | 71-77 |
Seitenumfang | 7 |
Fachzeitschrift | Statistics and Probability Letters |
Jahrgang | 45 |
Ausgabenummer | 1 |
Publikationsstatus | Veröffentlicht - 15 Okt. 1999 |
Peer-Review-Status | Ja |
Schlagworte
ASJC Scopus Sachgebiete
Schlagwörter
- 60 G 17, Argmax-functional, Markov-Gaussian processes, Primary 60 G 15, Secondary 60 J 25, Uniqueness of maximizers