Sampling sup‐normalized spectral functions for Brown–Resnick processes

Abstract

Sup-normalized spectral functions form building blocks of max-stable and Pareto processes and therefore play an important role in modelling spatial extremes. For one of the most popular examples, the Brown–Resnick process, simulation is not straightforward. In this paper, we generalize two approaches for simulation via Markov chain Monte Carlo methods and rejection sampling by introducing new classes of proposal densities. In both cases, we provide an optimal choice of the proposal density with respect to sampling efficiency. The performance of the procedures is demonstrated in an example.