Exact simulation of max-infinitely divisible processes
P Zhong, R Huser, T Opitz - Econometrics and Statistics, 2022 - Elsevier
Max-infinitely divisible (max-id) processes play a central role in extreme-value theory and include the subclass of all max-stable processes. They allow for a constructive representation …
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Max-infinitely divisible (max-id) processes play a central role in extreme-value theory and include the subclass of all max-stable processes. They allow for a constructive representation …