On the Normalized Spectral Representation of Max-Stable Processes on a Compact Set

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.

32 pages

References in corpus (3)

• Stationary max-stable fields associated to negative definite functions
• Spatial modeling of extreme snow depth
• Representations of max-stable processes based on single extreme events

Cited by in corpus (1)

• Conditionally Max-stable Random Fields based on log Gaussian Cox Processes