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Abstract: Max-stable random fields play a central role in modeling extreme valuephenomena. We obtain an explicit formula for the conditional probability ingeneral max-linear models, which include a large class of max-stable randomfields. As a consequence, we develop an algorithm for efficient and exactsampling from the conditional distributions. Our method provides acomputational solution to the prediction problem for spectrally discretemax-stable random fields. This work offers new tools and a new perspective tomany statistical inference problems for spatial extremes, arising, for example,in meteorology, geology, and environmental applications.



Author: Yizao Wang, Stilian A. Stoev

Source: https://arxiv.org/







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