Power variations for a class of Brown-Resnick processes

Christian Y. Robert

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arXiv · 1802.09226

Power variations for a class of Brown-Resnick processes

Christian Y. Robert

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Abstract

We consider the class of simple Brown-Resnick max-stable processes whose spectral processes are continuous exponential martingales. We develop the asymptotic theory for the realized power variations of these max-stable processes, that is, sums of powers of absolute increments. We consider an infill asymptotic setting, where the sampling frequency converges to zero while the time span remains fixed. More specifically we obtain a biased central limit theorem whose bias depend on the local times of the differences between the logarithms of the underlying spectral processes.

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Christian Y. Robert. 2018-02-26. Power variations for a class of Brown-Resnick processes. https://arxiv.org/abs/1802.09226

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