Exact simulation of max-stable processes
نویسندگان
چکیده
منابع مشابه
Exact and Fast Simulation of Max-Stable Processes on a Compact Set Using the Normalized Spectral Representation
The efficiency of simulation algorithms for max-stable processes relies on the choice of the spectral representation: different choices result in different sequences of finite approximations to the process. We propose a constructive approach yielding a normalized spectral representation that solves an optimization problem related to the efficiency of simulating max-stable processes. The simulat...
متن کاملOn Optimal Exact Simulation of Max-stable and Related Random Fields on a Compact Set
We consider the random field M(t) = sup n≥1 { − logAn +Xn(t) } , t ∈ T , for a set T ⊂ R, where (Xn) is an iid sequence of centered Gaussian random fields on T and 0 < A1 < A2 < · · · are the arrivals of a general renewal process on (0,∞), independent of (Xn). In particular, a large class of max-stable random fields with Gumbel marginals have such a representation. Assume that one needs c (d) =...
متن کاملMax-stable Processes and Spatial Extremes
Max-stable processes arise from an infinite-dimensional generalisation of extreme value theory. They form a natural class of processes when sample maxima are observed at each site of a spatial process, a problem of particular interest in connection with regional estimation methods in hydrology. A general representation of max-stable processes due to de Haan and Vatan is discussed, and examples ...
متن کاملLikelihood-based inference for max-stable processes
The last decade has seen max-stable processes emerge as a common tool for the statistical modelling of spatial extremes. However, their application is complicated due to the unavailability of the multivariate density function, and so likelihood-based methods remain far from providing a complete and flexible framework for inference. In this article we develop inferentially practical, likelihood-...
متن کاملExact simulation of nonlinear coagulation processes
The Smoluchowski equation is a nonlinear integro-differential equation describing the evolution of the concentration μt(dx) of particles of mass in (x, x+ dx) in an infinite particle system where coalescence occurs. We introduce a class of algorithms, which allow, under some conditions, to simulate exactly a stochastic process (Xt)t≥0, whose time marginals are given by (xμt(dx))t≥0.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Biometrika
سال: 2016
ISSN: 0006-3444,1464-3510
DOI: 10.1093/biomet/asw008