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June 2011 Conditional sampling for spectrally discrete max-stable random fields
Yizao Wang, Stilian A. Stoev
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Adv. in Appl. Probab. 43(2): 461-483 (June 2011).

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.

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Yizao Wang. Stilian A. Stoev. "Conditional sampling for spectrally discrete max-stable random fields." Adv. in Appl. Probab. 43 (2) 461 - 483, June 2011.

Information

Published: June 2011
First available in Project Euclid: 21 June 2011

zbMATH: 1225.60085
MathSciNet: MR2848386

Subjects:
Primary: 60G70
Secondary: 65C50

Rights: Copyright © 2011 Applied Probability Trust

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Vol.43 • No. 2 • June 2011
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