Efficient simulation of Brown‒Resnick processes based on variance reduction of Gaussian processes

DOI10.1017/apr.2018.54zbMath1436.60051arXiv1709.06037OpenAlexW2963941046MaRDI QIDQ5215038

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

zbMATH Keywords

simulation Gaussian process variogram variance reduction Brown-Resnick process max-stable process spatial extremes

Mathematics Subject Classification ID

Random fields (60G60) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Related Items (2)

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

This page was built for publication: Efficient simulation of Brown‒Resnick processes based on variance reduction of Gaussian processes