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A Dichotomy for Sampling Barrier-Crossing Events of Random Walks with Regularly Varying Tails

Autor: Dieker, Ton, Lagos, Guido

We study how to sample paths of a random walk up to the first time it crosses a fixed barrier, in the setting where the step sizes are iid with negative mean and have a regularly varying right tail. We introduce a desirable property for a change of m

Externí odkaz: http://arxiv.org/abs/1703.00884

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Exact simulation of stationary max-stable random fields

Autor: Dieker, Ton

Max-stable random fields can be viewed as the analogs of Gaussian processes in the world of extreme value analysis. We propose the first exact simulation method for a class of such random fields. The main idea is to apply suitable changes of measure,

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::45d030b90993e0cdbbabb2c98eaa2f07

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