Conditional sampling for max-stable processes with a mixed moving maxima representation

DOI10.1007/s10687-013-0178-1zbMath1312.60071arXiv1202.5023OpenAlexW3102760609MaRDI QIDQ483523

Marco Oesting, Martin Schlather

Publication date: 17 December 2014

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.5023

zbMATH Keywords

Poisson point processmax-stable processesextremesconditional samplingmixed moving maxima

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Extreme value theory; extremal stochastic processes (60G70) Stable stochastic processes (60G52) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

Extreme value estimation for discretely sampled continuous processes, Conditional independence among max-stable laws, Probabilities of Concurrent Extremes, On the distribution of a max-stable process conditional on max-linear functionals, Exact simulation of Brown-Resnick random fields at a finite number of locations

Uses Software

• R
• RandomFields
• MaxLinear

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Regular conditional distributions of continuous max-infinitely divisible random fields
• An equivalent representation of the Brown-Resnick process
• Prediction of stationary max-stable processes
• Extremes of independent Gaussian processes
• Simulation of Brown-Resnick processes
• Stationary max-stable fields associated to negative definite functions
• Sample and ergodic properties of some min-stable processes
• An introduction to the theory of point processes
• Models for stationary max-stable random fields
• Approximating the conditional density given large observed values via a multivariate extremes framework, with application to environmental data
• Extremal stochastic integrals: a parallel between max-stable processes and \(\alpha\)-stable processes
• Conditional sampling for spectrally discrete max-stable random fields
• Basic properties and prediction of max-ARMA processes
• Extreme values of independent stochastic processes
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Conditional simulation of max-stable processes
• Markov functions