Conditional sampling for max-stable processes with a mixed moving maxima representation
From MaRDI portal
Abstract: This paper deals with the question of conditional sampling and prediction for the class of stationary max-stable processes which allow for a mixed moving maxima representation. We develop an exact procedure for conditional sampling using the Poisson point process structure of such processes. For explicit calculations we restrict ourselves to the one-dimensional case and use a finite number of shape functions satisfying some regularity conditions. For more general shape functions approximation techniques are presented. Our algorithm is applied to the Smith process and the Brown-Resnick process. Finally, we compare our computational results to other approaches. Here, the algorithm for Gaussian processes with transformed marginals turns out to be surprisingly competitive.
Recommendations
- Conditional simulation of max-stable processes
- Conditional simulation of max-stable processes
- Conditional sampling for spectrally discrete max-stable random fields
- Statistical inference for max-stable processes by conditioning on extreme events
- Likelihood-based inference for max-stable processes
- On the estimation and application of max-stable processes
- Sampling from a max-stable process conditional on a homogeneous functional with an application for downscaling climate data
- Statistical inference for max-stable processes in space and time
- Malliavin-based multilevel Monte Carlo estimators for densities of max-stable processes
Cites work
- scientific article; zbMATH DE number 1692928 (Why is no real title available?)
- scientific article; zbMATH DE number 1313649 (Why is no real title available?)
- scientific article; zbMATH DE number 1478492 (Why is no real title available?)
- scientific article; zbMATH DE number 6108458 (Why is no real title available?)
- An equivalent representation of the Brown-Resnick process
- An introduction to the theory of point processes
- Approximating the conditional density given large observed values via a multivariate extremes framework, with application to environmental data
- Basic properties and prediction of max-ARMA processes
- Conditional sampling for spectrally discrete max-stable random fields
- Conditional simulation of max-stable processes
- Extremal stochastic integrals: a parallel between max-stable processes and \(\alpha\)-stable processes
- Extreme values of independent stochastic processes
- Extremes of independent Gaussian processes
- Markov functions
- Models for stationary max-stable random fields
- Prediction of stationary max-stable processes
- Regular conditional distributions of continuous max-infinitely divisible random fields
- Sample and ergodic properties of some min-stable processes
- Simulation of Brown-Resnick processes
- Stationary max-stable fields associated to negative definite functions
- Strictly Proper Scoring Rules, Prediction, and Estimation
Cited in
(11)- Conditional simulation of max-stable processes
- Conditional independence among max-stable laws
- Extreme value estimation for discretely sampled continuous processes
- Statistical inference for max-stable processes by conditioning on extreme events
- Simulation of max-stable processes
- Conditional sampling for spectrally discrete max-stable random fields
- 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
- Probabilities of concurrent extremes
- Conditional simulation of max-stable processes
- Sampling from a max-stable process conditional on a homogeneous functional with an application for downscaling climate data
This page was built for publication: Conditional sampling for max-stable processes with a mixed moving maxima representation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q483523)
