On the uniqueness of maximizers of Markov-Gaussian processes

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Contributors

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

Original languageEnglish
Pages (from-to)71-77
Number of pages7
JournalStatistics and Probability Letters
Volume45
Issue number1
Publication statusPublished - 15 Oct 1999
Peer-reviewedYes

Keywords

Keywords

  • 60 G 17, Argmax-functional, Markov-Gaussian processes, Primary 60 G 15, Secondary 60 J 25, Uniqueness of maximizers

Library keywords