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Conditional simulation of max-stable processes
Conditional simulation Markov chain Monte Carlo Max-stable process Precipitation Regular conditional distribution Temperature.
2012/9/18
Since many environmental processes such as heat waves or precipitation are spatial in extent,it is likely that a single extreme event affects several locations and the areal modelling of ex-tremes is ...
Nonparametric Inference for Max-Stable Dependence
Nonparametric Inference Max-Stable Dependence
2012/9/17
The choice for parametric techniques in the dis-cussion article is motivated by the claim that for multivariate extreme-value distributions, “owing to
the curse of dimensionality, nonparametric estim...
A simple and numerical stable algorithm for solving the cone projection problem based on a Gram-Schmidt process
cone projection algorithm convexity constraints convexity test simulations Gram-Schmidt
2012/9/19
We are presenting a simple and numerical stable algorithm for the solution of the cone projection problem which is suitable for relative small data sets and for simulation purposes needed for con-vexi...
In this paper, we show new representations of one-sided L\'{e}vy stable distributions for irrational L\'{e}vy indices of the type $\left(\frac{p}{q}\right)^{\frac{l_{2}}{l_{1}}}$ which are not covered...
Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
Ornstein-Uhlenbeck processes stable process drift coefficient matrix estimation consistency asymptotic efficiency
2009/9/16
In this paper, we investigate the consistency and asymptotic efficiency of an estimator of the drift matrix, $F$, of Ornstein-Uhlenbeck processes that are not necessarily stable. We consider all the c...