Abstract
Max-stable random fields play a central role in modeling extreme value phenomena. We obtain an explicit formula for the conditional probability in general max-linear models, which include a large class of max-stable random fields. As a consequence, we develop an algorithm for efficient and exact sampling from the conditional distributions. Our method provides a computational solution to the prediction problem for spectrally discrete max-stable random fields. This work offers new tools and a new perspective to many statistical inference problems for spatial extremes, arising, for example, in meteorology, geology, and environmental applications.
Citation
Yizao Wang. Stilian A. Stoev. "Conditional sampling for spectrally discrete max-stable random fields." Adv. in Appl. Probab. 43 (2) 461 - 483, June 2011.
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