Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151417 | Statistics & Probability Letters | 2015 | 6 Pages |
Abstract
Recently, Dombry and Éyi-Minko (2013) provided formulae for the distribution of a max-stable process conditional on its values at given sites and proposed a methodology for sampling from this distribution. We generalize their results by allowing for conditions stemming from max-linear functionals of the process. Furthermore, we show that the conditional distribution of the extremal functions, i.e. the spectral functions attaining the imposed conditions, is closely related to the normalized spectral representation. The results are illustrated in several examples.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Marco Oesting,