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May 2018 Exact and fast simulation of max-stable processes on a compact set using the normalized spectral representation
Marco Oesting, Martin Schlather, Chen Zhou
Bernoulli 24(2): 1497-1530 (May 2018). DOI: 10.3150/16-BEJ905

Abstract

The efficiency of simulation algorithms for max-stable processes relies on the choice of the spectral representation: different choices result in different sequences of finite approximations to the process. We propose a constructive approach yielding a normalized spectral representation that solves an optimization problem related to the efficiency of simulating max-stable processes. The simulation algorithm based on the normalized spectral representation can be regarded as max-importance sampling. Compared to other simulation algorithms hitherto, our approach has at least two advantages. First, it allows the exact simulation of a comprising class of max-stable processes. Second, the algorithm has a stopping time with finite expectation. In practice, our approach has the potential of considerably reducing the simulation time of max-stable processes.

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Marco Oesting. Martin Schlather. Chen Zhou. "Exact and fast simulation of max-stable processes on a compact set using the normalized spectral representation." Bernoulli 24 (2) 1497 - 1530, May 2018. https://doi.org/10.3150/16-BEJ905

Information

Received: 1 March 2014; Revised: 1 September 2016; Published: May 2018
First available in Project Euclid: 21 September 2017

zbMATH: 06778371
MathSciNet: MR3706800
Digital Object Identifier: 10.3150/16-BEJ905

Rights: Copyright © 2018 Bernoulli Society for Mathematical Statistics and Probability

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Vol.24 • No. 2 • May 2018
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