Conditional Sampling for Max-Stable Processes with a Mixed Moving Maxima Representation

Details Conditional Sampling for Max-Stable Processes with a Mixed Moving Maxima Representation Conditional Sampling for Max-Stable Processes with a Mixed Moving Maxima Representation

2012-02-22

arxiv.org/abs/1202.5023v1

Mathematics

Probability

37 pages

Scientific paper

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 Gaussian extreme value process and the Brown- Resnick process. Finally, we compare our computational results to other approaches.

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