Journal
EXTREMES
Volume 23, Issue 2, Pages 215-244Publisher
SPRINGER
DOI: 10.1007/s10687-020-00373-4
Keywords
Max-stable processes; Brown-Resnick processes; Power variations; Infill asymptotics
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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 depends on the local times of the differences between the logarithms of the underlying spectral processes.
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