Blanchet, J., Liu, Z. (2018). Malliavin-Based Multilevel Monte Carlo Estimators for Densities of Max-Stable Processes. In: Owen, A., Glynn, P. (eds) Monte Carlo and Quasi-Monte Carlo Methods. MCQMC 2016. Springer Proceedings in Mathematics & Statistics, vol 241. Springer, Cham. https://doi.org/10.1007/978-3-319-91436-7_4

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Abstract

We introduce a class of unbiased Monte Carlo estimators for multivariate densities of max-stable fields generated by Gaussian processes. Our estimators take advantage of recent results on the exact simulation of max-stable fields combined with identities studied in the Malliavin calculus literature and ideas developed in the multilevel Monte Carlo literature. Our approach allows estimating multivariate densities of max-stable fields with precision at a computational cost of order .

Authors
Jose Blanchet, Zhipeng Liu
Publication date
2018
Conference
Monte Carlo and Quasi-Monte Carlo Methods: MCQMC 2016, Stanford, CA, August 14-19 12
Pages
75-97
Publisher
Springer International Publishing