Title: Exact simulation of continuous max-id processes
Authors: Florian Brueck - Technical University Munich (Germany) [presenting]
Abstract: An algorithm for the unbiased simulation of max-(or min-)id stochastic processes is presented. The algorithm only requires the simulation of finite Poisson random measures and avoids the necessity of computing conditional distributions of infinite (exponent)measures. Special emphasis is put on the simulation of exchangeable max-(or min-)id sequences, in particular exchangeable Sato-frailty sequences.