How to simulate a max-stable process?

Kirstin Strokorb (University of Cardiff, UK)


Abstract:
Being the max-analogue of stable stochastic processes, max-stable processes form one of the fundamental classes of stochastic processes. With the arrival of ever growing computational capabilities, they have become a benchmark in the analysis of spatio-temporal extreme events. Simulation is often a necessary part of inference of certain characteristics, in particular for future spatial risk assessment. In this talk I will give an an overview over existing procedures for this task and put them into perspective of one another and make comparisons with respect to their properties making use of some new theoretical results. A particular emphasis will be given to the popular class of Brown-Resnick processes, which are max-stable processes that are associated to Gaussian processes. The talk is based on joint work with Marco Oesting.

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