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research article

Exact simulation of max-stable processes

Dombry, Clement
•
Engelke, Sebastian  
•
Oesting, Marco
2016
Biometrika

Max-stable processes play an important role as models for spatial extreme events. Their complex structure as the pointwise maximum over an infinite number of random functions makes their simulation difficult. Algorithms based on finite approximations are often inexact and computationally inefficient. We present a new algorithm for exact simulation of a max-stable process at a finite number of locations. It relies on the idea of simulating only the extremal functions, that is, those functions in the construction of a max-stable process that effectively contribute to the pointwise maximum. We further generalize the algorithm by Dieker & Mikosch (2015) for Brown-Resnick processes and use it for exact simulation via the spectral measure. We study the complexity of both algorithms, prove that our new approach via extremal functions is always more efficient, and provide closed-form expressions for their implementation that cover most popular models for max-stable processes and multivariate extreme value distributions. For simulation on dense grids, an adaptive design of the extremal function algorithm is proposed.

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Type
research article
DOI
10.1093/biomet/asw008
Web of Science ID

WOS:000377429000005

Author(s)
Dombry, Clement
Engelke, Sebastian  
Oesting, Marco
Date Issued

2016

Publisher

Oxford University Press

Published in
Biometrika
Volume

103

Issue

2

Start page

303

End page

317

Subjects

Exact simulation

•

Extremal function

•

Extreme value distribution

•

Max-stable process

•

Spectral measure

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
STAT  
Available on Infoscience
July 19, 2016
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/127627
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