Exact simulation of Brown-Resnick random fields at a finite number of locations
Abstract
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.
- Publication:
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arXiv e-prints
- Pub Date:
- June 2014
- arXiv:
- arXiv:1406.5624
- Bibcode:
- 2014arXiv1406.5624D
- Keywords:
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- Mathematics - Probability