On Optimal Exact Simulation of Max-Stable and Related Random Fields

MaRDI QIDQ6277701zbMATH OpenFDO

Authors Zhipeng Liu, Jose Blanchet, A. B. Dieker, T. Mikosch

Publication date 19 September 2016

Abstract: We consider the random field M(t)=sup_{ngeq 1}�ig{-log A_{n}+X_{n}(t)�ig},,qquad tin T, for a set $Tsubsetmathbb{R}^m$, where $(X_n)$ is an iid sequence of centered Gaussian random fields on $T$ and $0<A_1<A_2<cdots$ are the arrivals of a general renewal process on $(0,infty)$, independent of $(X_n)$. In particular, a large class of max-stable random fields with Gumbel marginals have such a representation. Assume that one needs $cleft(dight)=c(t_1,ldots,t_d)$ function evaluations to sample $X_n$ at $d$ locations $t_1,ldots,t_{d}inT$. We provide an algorithm which, for any $epsilon>0$, samples $M(t_1),ldots,M(t_d)$ with complexity $o(c(d),d^{epsilon})$. Moreover, if $X_n$ has an a.s. converging series representation, then $M$ can be a.s. approximated with error $delta$ uniformly over $T$ and with complexity $O(1/(deltalog(1/delta){)}^{1/alpha})$, where $alpha$ relates to the H"{o}lder continuity exponent of the process $X_n$ (so, if $X_n$ is Brownian motion, $alpha=1/2$).

This page was built for publication: On Optimal Exact Simulation of Max-Stable and Related Random Fields

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6277701)