maxLinear: an R
package for conditional sampling of
max-stable random fields.
Author: Yizao Wang (homepage)
for any problems.
The package focuses on the conditional sampling for max-linear models,
addressed in Wang and Stoev (2011). The max-linear models cover a large
class of max-stable random fields. Therefore, our package provides a
computational tool for prediction on such random fields. Namely, the
package produces samples from the exact conditional
based on multiple obseravtions. In practice, our package can deal with
max-linear models with 10000
hidden random variables and produce conditional samples of the entire
random field within seconds. The examples are based on the discrete
Smith model (Smith 1990, de Haan and Pereira, 2006). The core part of
package is written in C++.
Our package can also simulate the (unconditional) max-linear random
fields. However, some classes of stationary max-stable random fields
be done in a different way by the package RandomFields
(see Schlather 2002).
1. Download the R package installation
2. Install the package by the following command:
R CMD INSTALL maxLinear_1.0.tar.gz
The following commands run the two demos in R:
sampling from the Smith model.
Some plots in Wang and Stoev 2011 were produced by these codes.
(In this case, R package "fields"
is required for output.)
- Reinhard Furrer and Douglas Nychka and Stephen
Sain. fields: Tools for Spatial Data, 2009, R package version 6.01. http://CRAN.R-project.org/package=fields
- Laurens de Haan and Teresa T. Pereira. Spatial
Extremes: Models for the Stationary Case. The Annals of
Statistics, Vol. 34, No. 1, 146-168. 2006.
- Martin Schlather. Models for Stationary
Max-Stable Random Fields. Extremes 5(1), 33-44. 2002.
- Richard L. Smith. Max-Stable Processes and
Spatial Extremes. Unpubished prepreint. 1990.
- Yizao Wang and Stilian A. Stoev. Conditional
Sampling for Spectrally Discrete Max-Stable Random Fields. Advances in Applied
Probability, Vol. 43(2), 2011, pp. 463-481. arxiv
Last updated: October 5th, 2011.