Conditional sampling for max-stable processes with a mixed moving maxima representation

DOI10.1007/s10687-013-0178-1zbMath1312.60071arXiv1202.5023OpenAlexW3102760609MaRDI QIDQ483523

Marco Oesting, Martin Schlather

Publication date: 17 December 2014

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.5023

zbMATH Keywords

Poisson point processmax-stable processesextremesconditional samplingmixed moving maxima

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Extreme value theory; extremal stochastic processes (60G70) Stable stochastic processes (60G52) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (5)

Extreme value estimation for discretely sampled continuous processes ⋮ Conditional independence among max-stable laws ⋮ Probabilities of Concurrent Extremes ⋮ On the distribution of a max-stable process conditional on max-linear functionals ⋮ Exact simulation of Brown-Resnick random fields at a finite number of locations

Uses Software

• R
• RandomFields
• MaxLinear

Cites Work

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• Basic properties and prediction of max-ARMA processes
• Extreme values of independent stochastic processes
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Conditional simulation of max-stable processes
• Markov functions

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