Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences

Florian Brück

Journal of Multivariate Analysis, 2023, vol. 193, issue C

Abstract: An algorithm for the unbiased simulation of continuous max-(resp. min-) infinitely divisible stochastic processes is developed. The algorithm only requires the simulation of finite Poisson random measures on the space of continuous functions and avoids the necessity of computing conditional distributions of infinite (exponent) measures. The complexity of the algorithm is characterized in terms of the expected number of simulated atoms of the Poisson random measures on the space of continuous functions. Special emphasis is put on the simulation of exchangeable max-(or min-) infinitely divisible sequences, in particular exchangeable Sato-frailty sequences. Additionally, exact simulation schemes of exchangeable exogenous shock models and exchangeable max-stable sequences are sketched.

Keywords: Exchangeable min-id sequences; Exponent measure; Max-id process (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047259X22001087
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:193:y:2023:i:c:s0047259x22001087

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.jmva.2022.105117

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().