Exact simulation of Brown-Resnick random fields at a finite number of locations

By Antonius B. Dieker, Thomas Mikosch. 2014

93 citations recorded by the source corpus.

We propose an exact simulation method for Brown-Resnick random fields, building on new representations for these stationary max-stable fields. The main idea is to apply suitable changes of measure.

Subfields: Finance, Management Science and Operations Research, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/e96eaf46ef70a1beb3ed406d3d06eb9ce25bb445

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Sebastian Engelke
2. A. C. Davison
3. Adrien Hitz
4. Peiman Asadi
5. Enkelejd Hashorva
6. Chen Zhou
7. Axel Bucher
8. Krzysztof Debicki

In Management Science and Operations Research

1. Enkelejd Hashorva
2. Sebastian Engelke
3. Chen Zhou
4. Axel Bucher
5. Peiman Asadi
6. A. C. Davison
7. Adrien Hitz

In Mathematical Physics

1. Chen Zhou
2. Enkelejd Hashorva
3. Axel Bucher
4. Krzysztof Debicki
5. Peiman Asadi
6. A. C. Davison
7. Sebastian Engelke
8. Adrien Hitz

Citations in the corpus

• Generalized Pickands constants and stationary max-stable processes (2016, background): “This is a fruitful observation since there is active research on the simulation of max-stable processes (Dieker and Mikosch, 2015; Dombry et al., 2016) and even of the constant C W (Oesting et al.”
• A Horse Race between the Block Maxima Method and the Peak–over–Threshold Approach (2018, background): “…Vatan (1990) and Kabluchko, Schlather and De Haan (2009); on simulating frommax-stable processes, see, e.g., Dombry, Éyi-Minko and Ribatet (2013), Dieker and Mikosch (2015), Dombry, Engelke and Oesting (2016) and Oesting, Schlather and Zhou (2018); and on statistical inference based on…”
• Graphical models for extremes (2018, methodology): “This is a matrix completion problem for variograms similar to what Dempster (1972) introduced for covariance matrices.”
• Extremes on river networks (2015, background): “The generation of random samples from Brown–Resnick type processes is challenging [cf. Engelke, Kabluchko and Schlather (2011), Oesting, Kabluchko and Schlather (2012)], but recent advances provide exact and efficient algorithms [Dieker and Mikosch (2015), Dombry, Engelke and Oesting (2016)].”