Simulation of Pickands constants
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KeywordsPickands constant; fractional Brownian motion; change of measure; Cholesky factorization; fGp algorithm;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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