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A comparative tour through the simulation algorithms for max-stable processes

Oesting, Marco and Strokorb, Kirstin 2022. A comparative tour through the simulation algorithms for max-stable processes. Statistical Science 37 (1) , pp. 42-63. 10.1214/20-STS820

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Abstract

Being the max-analogue of α-stable stochastic processes, max-stable processes form one of the fundamental classes of stochastic processes. With the arrival of sufficient computational capabilities, they have become a benchmark in the analysis of spatiotemporal extreme events. Simulation is often a necessary part of inference of certain characteristics, in particular for future spatial risk assessment. In this article, we give an overview over existing procedures for this task, put them into perspective of one another and use some new theoretical results to make comparisons with respect to their properties.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Publisher: Institute of Mathematical Statistics (IMS)
ISSN: 0883-4237
Date of First Compliant Deposit: 15 January 2021
Date of Acceptance: 4 December 2020
Last Modified: 17 May 2022 13:19
URI: https://orca.cardiff.ac.uk/id/eprint/137734

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