On logarithmically optimal exact simulation of max-stable and related random fields on a compact set

DOI10.3150/18-BEJ1076MaRDI QIDQ2325347zbMATH OpenOpenAlexFDO

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

Publication date 25 September 2019

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.bj/1568362048

zbMATH Keywords

Brown-Resnick processexact simulationGaussian fieldmax-stable random fieldsrecord-breaking

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70)

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Cites work

• -strong simulation for multidimensional stochastic differential equations via rough path analysis
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• Applied Probability and Queues
• Bayesian inference for the Brown-Resnick process, with an application to extreme low temperatures
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• Discretization error in simulation of one-dimensional reflecting Brownian motion
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• Exact Sampling of Stationary and Time-Reversed Queues
• Exact simulation of Brown-Resnick random fields at a finite number of locations
• Exact simulation of max-stable processes
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• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1547390 (Why is no real title available?)
• Models for stationary max-stable random fields
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• Random Fields and Geometry
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• Stopped Random Walks

Cited in

(9)

• A comparative tour through the simulation algorithms for max-stable processes
• Whittle estimation based on the extremal spectral density of a heavy-tailed random field
• -strong simulation of the convex minorants of stable processes and meanders
• High-dimensional inference using the extremal skew-\(t\) process
• Exact and fast simulation of max-stable processes on a compact set using the normalized spectral representation
• ɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations
• Simulations for Karlin random fields
• Efficient simulation of Brown-Resnick processes based on variance reduction of Gaussian processes
• Advances in statistical modeling of spatial extremes

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