Efficient simulation of Brown‒Resnick processes based on variance reduction of Gaussian processes
From MaRDI portal
Publication:5215038
DOI10.1017/apr.2018.54zbMath1436.60051arXiv1709.06037MaRDI QIDQ5215038
Kirstin Strokorb, Marco Oesting
Publication date: 5 February 2020
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1709.06037
simulation; Gaussian process; variogram; variance reduction; Brown-Resnick process; max-stable process; spatial extremes
60G60: Random fields
60G15: Gaussian processes
60G70: Extreme value theory; extremal stochastic processes
Related Items
Efficient simulation of Brown‒Resnick processes based on variance reduction of Gaussian processes, A comparative tour through the simulation algorithms for max-stable processes
Cites Work
- Unnamed Item
- Unnamed Item
- Extremes on river networks
- Anisotropic Brown-Resnick space-time processes: estimation and model assessment
- Geostatistics of dependent and asymptotically independent extremes
- Bayesian inference for the Brown-Resnick process, with an application to extreme low temperatures
- Extremes of multidimensional Gaussian processes
- Extremes of independent Gaussian processes
- Simulation of Brown-Resnick processes
- Stationary max-stable fields associated to negative definite functions
- A spectral representation for max-stable processes
- Uniform distribution on a Stiefel manifold
- max-infinitely divisible and max-stable sample continuous processes
- Models for stationary max-stable random fields
- Statistical post-processing of forecasts for extremes using bivariate Brown-Resnick processes with an application to wind gusts
- On logarithmically optimal exact simulation of max-stable and related random fields on a compact set
- Exact simulation of Brown-Resnick random fields at a finite number of locations
- Exact and fast simulation of max-stable processes on a compact set using the normalized spectral representation
- An extension theorem for positive-definite functions
- Addendum to `Isotropic correlation functions on d -dimensional balls'
- Analogies and correspondences between variograms and covariance functions
- Geostatistics
- Handbook of Spatial Statistics
- The intrinsic random functions and their applications
- Extreme values of independent stochastic processes
- Local stationarity and simulation of self-affine intrinsic random functions
- Isotropic correlation functions on d-dimensional balls
- Efficient simulation of Brown‒Resnick processes based on variance reduction of Gaussian processes
- Random Fields and Geometry
- Estimation of Hüsler–Reiss Distributions and Brown–Resnick Processes
- Exact simulation of max-stable processes
- An M-Estimator of Spatial Tail Dependence
- Bernstein functions. Theory and applications