Exact simulation of Brown-Resnick random fields at a finite number of locations

Exact simulation of Brown-Resnick random fields at a finite number of locations

We propose an exact simulation method for Brown-Resnick random fields, building on new representations for these stationary max-stable fields. The main idea is to apply suitable changes of measure.

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Veröffentlicht in:Extremes (Boston) 2015-06, Vol.18 (2), p.301-314
Hauptverfasser: Dieker, A. B., Mikosch, T.
Format: Artikel
Sprache:eng
Schlagworte:
Analysis
Civil Engineering
Economics
Environmental Management
Finance
Hydrogeology
Insurance
Management
Mathematics and Statistics
Monte Carlo simulation
Normal distribution
Quality Control
Random variables
Reliability
Safety and Risk
Simulation
Statistics
Statistics for Business
Studies
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Zusammenfassung:We propose an exact simulation method for Brown-Resnick random fields, building on new representations for these stationary max-stable fields. The main idea is to apply suitable changes of measure.
ISSN:1386-1999
1572-915X
DOI:10.1007/s10687-015-0214-4