An algorithm for the unbiased simulation of continuous max-(resp.\ min-)id stochastic processes is developed. The algorithm only requires the simulation of finite Poisson random measures on the space of continuous functions and avoids the necessity of computing conditional distributions of infinite (exponent)measures. The complexity of the algorithm is characterized in terms of the expected number of simulated atoms of the Poisson random measures on the space of continuous functions. Special emphasis is put on the simulation of exchangeable max-(or min-)id sequences, in particular exchangeable Sato-frailty sequences. Additionally, exact simulation schemes of exchangeable exogenous shock models and exchangeable max-stable sequences are sketched.
翻译:开发了连续最大(resp.\ min- min- min) 随机模拟过程的公正模拟算法,该算法仅要求模拟连续函数空间的有限 Poisson随机测量,避免计算无限(Expent)测量的有条件分布的必要性,算法的复杂性以连续函数空间的Poisson随机测量模拟原子的预期数量为特征,特别强调模拟可交换最大(或min- min) 测序,特别是可交换的 Sato- filty测序。此外,还设计了可交换外源冲击模型和可交换最大稳定测序的精确模拟计划。