Exact simulation of Brown-Resnick random fields at a finite number of locations

DOI10.1007/S10687-015-0214-4MaRDI QIDQ2352979zbMATH OpenOpenAlexFDO

Authors A. B. Dieker, T. Mikosch

Publication date 7 July 2015

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1406.5624

zbMATH Keywords

Brown-Resnick random fieldsextremesGaussian random fieldsmax-stable processesMonte Carlo simulationPickands' constant

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Gaussian processes (60G15) Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70) Monte Carlo methods (65C05)

Abstract: We propose an exact simulation method for Brown-Resnick random fields, building on new representations for these stationary max-stable fields. The main idea is to apply suitable changes of measure.

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Cited in

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