BIRS Workshop Lecture Videos

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BIRS Workshop Lecture Videos

Exact simulation of stationary max-stable random fields Dieker, Ton


Max-stable random fields can be viewed as the analogs of Gaussian processes in the world of extreme value analysis. We propose the first exact simulation method for a class of such random fields. The main idea is to apply suitable changes of measure, which yield new representations that can be exploited for simulation.

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