Extremes

, Volume 17, Issue 1, pp 157–192 | Cite as

Conditional sampling for max-stable processes with a mixed moving maxima representation

Article

Abstract

This paper deals with the question of conditional sampling and prediction for the class of stationary max-stable processes which allow for a mixed moving maxima representation. We develop an exact procedure for conditional sampling using the Poisson point process structure of such processes. For explicit calculations we restrict ourselves to the one-dimensional case and use a finite number of shape functions satisfying some regularity conditions. For more general shape functions approximation techniques are presented. Our algorithm is applied to the Smith process and the Brown-Resnick process. Finally, we compare our computational results to other approaches. Here, the algorithm for Gaussian processes with transformed marginals turns out to be surprisingly competitive.

Keywords

Conditional sampling Extremes Max-stable process Mixed moving maxima Poisson point process 

AMS 2000 Subject Classifications

60G70 60D05 

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Copyright information

© Springer Science+Business Media New York 2013

Authors and Affiliations

  1. 1.Institute of MathematicsUniversity of MannheimMannheimGermany

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