Characterizing Stationarities Using Distributions of Random Locations

使用随机位置的分布表征平稳性

• 批准号: RGPIN-2014-04840
• 负责人: Shen, Yi
• 金额: $ 1.09万
• 依托单位: University of Waterloo
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2015
• 资助国家: 加拿大
• 起止时间: 2015-01-01 至 2016-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=588049
• 关键词: Characterizing; Stationarities; Using; Distributions; Random

Stationarity is the shift invariance of the distribution of a stochastic process or a random field. It plays an essential role in probability, statistics and their applications, and has been intensively studied for a long time. Although much is known about stationarity and a rich stream of literature can be found, there remain properties whose relation to stationarity may be intrinsic yet not easy to perceive. Recently, the applicant, collaborating with Gennady Samorodnitsky, has investigated the relation between strict stationarity of stochastic processes and the distributions of random locations, such as the location of the path supremum/infimum, hitting times, etc. We introduced a family of random locations and proved that under stationarity, the distribution of any random location in this family must satisfy a group of very specific conditions. It was further proved that this group of conditions is actually equivalent to the stationarity of the process, in the sense that a process is stationary if and only if the conditions are satisfied for all the random locations in the family. In this way we characterized the one dimensional strict stationarity by the distributions of random locations. Later, we also discovered that similar results and characterization exist between the strict stationarity of the increments of a process and a subclass of these random locations. The proposed research comes from the observation of the existence of a general duality between the spaces of stochastic processes and the sets of random locations, in the sense that a process belongs to some space presenting a certain type of stationarity, if and only if the conditions that we derived hold for all the members in a corresponding set of random locations. The previous works show that such a duality can be established for one dimensional strict stationary processes and one dimensional stationary increment processes. I propose to extend these results to other notions of stationarity, thus building a systemic way to characterize, and even define, different stationarities by identifying different classes of random locations. First examples may include relatively stationary processes (processes whose distributions are shift invariant only restricted to a compact interval) and weak-sense stationary processes (processes whose first two moments are shift invariant). Both of these are widely used to model signals, water levels, economic data and many other applications of significant value to Canada. I also propose to make a further development of the theory of random locations, as well as to construct new statistical tests for various stationarities using the properties of the distributions of random locations. The proposed work will contribute significantly in both probability and statistics. It leads to a new family of statistical tests for stationarities, which will be especially useful when only partial information, such as the occurrence time of certain event, is known for a process. Such tests can not be established without the results obtained in this research. The properties of the distributions of random locations will also result in optimal bounds for the expectation of the functions of random locations, which can be used in various optimization problems. Moreover, there is a natural link between the setting of random locations and queueing systems with deadlines, and the results of this research can answer certain pending questions in queueing theory. Last but not least, the distributional knowledge of random locations will be helpful in applied areas such as credit risk management and earthquake prediction, therefore has potential value for improving the management of several industries which are critical to the Canadian public.

平稳性是随机过程或随机场分布的平移不变性。它在概率统计及其应用中起着至关重要的作用，长期以来一直受到广泛的研究。虽然关于平稳性的知识很多，而且可以找到丰富的文献，但仍有一些性质与平稳性可能是内在的，但不容易被察觉。 最近，申请人与Gennady Samorodnitsky合作，研究了随机过程的严格平稳性与随机位置的分布之间的关系，如路径上确界/下确界的位置、击中时间等。我们引入了一族随机位置，并证明了在平稳性下，这个族中任何随机位置的分布都必须满足一组非常特殊的条件。进一步证明了这组条件实际上等价于过程的平稳性，即过程是平稳的当且仅当对族中的所有随机位置都满足这些条件。这样，我们用随机位置的分布刻画了一维严格平稳性。后来，我们还发现在过程增量的严格平稳性和这些随机位置的子类之间存在类似的结果和刻画。 所提出的研究来自于观察到随机过程空间和随机位置集之间存在一般对偶，即一个过程属于呈现某种类型平稳性的某个空间，当且仅当我们推导的条件对相应的随机位置集中的所有成员成立。前人的工作表明，对于一维严格平稳过程和一维平稳增量过程，都可以建立这样的对偶。我建议将这些结果推广到其他关于平稳性的概念，从而建立一种系统的方法来通过识别不同类别的随机位置来表征甚至定义不同的平稳性。第一个例子可以包括相对平稳过程(其分布平移不变的过程仅限于紧致区间)和弱感觉平稳过程(其前两个矩是平移不变的过程)。这两种方法都被广泛用于对信号、水位、经济数据和许多其他对加拿大有重要价值的应用进行建模。作者还建议进一步发展随机位置理论，并利用随机位置分布的性质构造各种平稳性的新的统计检验。 拟议的工作将在概率和统计学方面做出重大贡献。它导致了一系列新的平稳性统计检验，当一个过程只有部分信息，如特定事件的发生时间时，这一检验将特别有用。如果没有这项研究的结果，就不能建立这样的测试。随机位置分布的性质也将导致随机位置函数的期望的最优界，这可用于各种优化问题。此外，随机位置的设置与具有截止期的排队系统之间存在着天然的联系，本研究的结果可以回答排队论中的某些悬而未决的问题。最后但并非最不重要的一点是，随机地点的分布知识将有助于信用风险管理和地震预测等应用领域，因此对于改善对加拿大公众至关重要的几个行业的管理具有潜在价值。