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November 2019 On logarithmically optimal exact simulation of max-stable and related random fields on a compact set
Zhipeng Liu, Jose H. Blanchet, A.B. Dieker, Thomas Mikosch
Bernoulli 25(4A): 2949-2981 (November 2019). DOI: 10.3150/18-BEJ1076

Abstract

We consider the random field \begin{equation*}M(t)=\mathop{\mathrm{sup}}_{n\geq1}\{-\log A_{n}+X_{n}(t)\},\qquad t\in T,\end{equation*} for a set $T\subset\mathbb{R}^{m}$, where $(X_{n})$ is an i.i.d. sequence of centered Gaussian random fields on $T$ and $0<A_{1}<A_{2}<\cdots$ are the arrivals of a general renewal process on $(0,\infty)$, independent of $(X_{n})$. In particular, a large class of max-stable random fields with Gumbel marginals have such a representation. Assume that one needs $c(d)=c(\{t_{1},\ldots,t_{d}\})$ function evaluations to sample $X_{n}$ at $d$ locations $t_{1},\ldots,t_{d}\in T$. We provide an algorithm which samples $M(t_{1}),\ldots,M(t_{d})$ with complexity $O(c(d)^{1+o(1)})$ as measured in the $L_{p}$ norm sense for any $p\ge1$. Moreover, if $X_{n}$ has an a.s. converging series representation, then $M$ can be a.s. approximated with error $\delta$ uniformly over $T$ and with complexity $O(1/(\delta\log(1/\delta))^{1/\alpha})$, where $\alpha$ relates to the Hölder continuity exponent of the process $X_{n}$ (so, if $X_{n}$ is Brownian motion, $\alpha=1/2$).

Citation

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Zhipeng Liu. Jose H. Blanchet. A.B. Dieker. Thomas Mikosch. "On logarithmically optimal exact simulation of max-stable and related random fields on a compact set." Bernoulli 25 (4A) 2949 - 2981, November 2019. https://doi.org/10.3150/18-BEJ1076

Information

Received: 1 September 2016; Revised: 1 September 2018; Published: November 2019
First available in Project Euclid: 13 September 2019

zbMATH: 07110117
MathSciNet: MR4003570
Digital Object Identifier: 10.3150/18-BEJ1076

Rights: Copyright © 2019 Bernoulli Society for Mathematical Statistics and Probability

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Vol.25 • No. 4A • November 2019
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