Conditional sampling for max-stable processes with a mixed moving maxima representation
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Publication:483523
DOI10.1007/S10687-013-0178-1zbMATH Open1312.60071arXiv1202.5023OpenAlexW3102760609MaRDI QIDQ483523FDOQ483523
Authors: Marco Oesting, M. Schlather 
Publication date: 17 December 2014
Published in: Extremes (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1202.5023
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Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Sampling theory, sample surveys (62D05) Stable stochastic processes (60G52)
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Cited In (11)
- 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
- Conditional simulation of max-stable processes
- Sampling from a max-stable process conditional on a homogeneous functional with an application for downscaling climate data
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