Repository: Freie Universität Berlin, Math Department

Sampling sup‐normalized spectral functions for Brown–Resnick processes

Oesting, Marco and Schlather, Martin and Schillings, Claudia (2019) Sampling sup‐normalized spectral functions for Brown–Resnick processes. Stat, 8 (1).

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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.

Item Type:Article
Subjects:Mathematical and Computer Sciences > Mathematics > Applied Mathematics
Divisions:Department of Mathematics and Computer Science > Institute of Mathematics > Deterministic and Stochastic PDEs Group
ID Code:2991
Deposited By: Ulrike Eickers
Deposited On:05 Jun 2023 12:13
Last Modified:05 Jun 2023 12:45

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