On generalized max-linear models in max-stable random fields

2017/03/09 by Falk, Michael, Zott, Maximilian
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1703.03472

Abstract

In practice, it is not possible to observe a whole max-stable random field. Therefore, a way how to reconstruct a max-stable random field in C([0,1]^k) by interpolating its realizations at finitely many points is proposed. The resulting interpolating process is again a max-stable random field. This approach uses a generalized max-linear model. Promising results have been established in the case k=1 in a previous paper. However, the extension to higher dimensions is not straightforward since we lose the natural order of the index space.

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