On logarithmically optimal exact simulation of max-stable and related random fields on a compact set
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Publication:2325347
DOI10.3150/18-BEJ1076zbMath1428.62426OpenAlexW2972967637MaRDI QIDQ2325347
Thomas Mikosch, Zhipeng Liu, A. B. Dieker, Jose H. Blanchet
Publication date: 25 September 2019
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1568362048
Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70) Computational methods for problems pertaining to probability theory (60-08)
Related Items (6)
\(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders ⋮ High-dimensional inference using the extremal skew-\(t\) process ⋮ Efficient simulation of Brown‒Resnick processes based on variance reduction of Gaussian processes ⋮ A comparative tour through the simulation algorithms for max-stable processes ⋮ ɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations ⋮ Whittle estimation based on the extremal spectral density of a heavy-tailed random field
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