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- W2951070656 abstract "We introduce a class of unbiased Monte Carlo estimators for the multivariate density of max-stable fields generated by Gaussian processes. Our estimators take advantage of recent results on 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 $varepsilon $ at a computational cost of order $Oleft( varepsilon ^{-2}log log log left( 1/varepsilon right) right) $." @default.
- W2951070656 created "2019-06-27" @default.
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- W2951070656 date "2017-02-01" @default.
- W2951070656 modified "2023-09-27" @default.
- W2951070656 title "Malliavin-based Multilevel Monte Carlo Estimators for Densities of Max-stable Processes" @default.
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- W2951070656 doi "https://doi.org/10.48550/arxiv.1702.00428" @default.
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