On the Normalized Spectral Representation of Max-Stable Processes on a Compact Set
Probability
2013-10-08 v1
Abstract
The normalized spectral representation of a max-stable process on a compact set is the unique representation where all spectral functions share the same supremum. Among the class of equivalent spectral representations of a process, the normalized spectral representation plays a distinctive role as a solution of two optimization problems in the context of an efficient simulation of max-stable processes. Our approach has the potential of considerably reducing the simulation time of max-stable processes.
Cite
@article{arxiv.1310.1813,
title = {On the Normalized Spectral Representation of Max-Stable Processes on a Compact Set},
author = {Marco Oesting and Martin Schlather and Chen Zhou},
journal= {arXiv preprint arXiv:1310.1813},
year = {2013}
}
Comments
32 pages