Simulation of max-stable processes

MaRDI QIDQ5272722zbMATH OpenFDO

Authors Marco Oesting, Clément Dombry, Mathieu Ribatet

Publication date 4 July 2017

zbMATH Keywords

samplingsimulation of stochastic phenomena

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Stable stochastic processes (60G52) Extreme value theory; extremal stochastic processes (60G70) Sampling theory, sample surveys (62D05)

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Cited in

(11)

• Robust bounds in multivariate extremes
• ABC model selection for spatial extremes models applied to south Australian maximum temperature data
• A comparative tour through the simulation algorithms for max-stable processes
• On logarithmically optimal exact simulation of max-stable and related random fields on a compact set
• Exact and fast simulation of max-stable processes on a compact set using the normalized spectral representation
• On simulation and properties of the stable law
• Extremes on river networks
• Anisotropic Brown-Resnick space-time processes: estimation and model assessment
• Efficient simulation of Brown-Resnick processes based on variance reduction of Gaussian processes
• Exact simulation of max-stable processes
• Simulation of Brown-Resnick processes

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• R

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