Tail dependence and smoothness
share
The risk of catastrophes is related to the possibility of occurring extreme values. Several statistical methodologies have been developed in order to evaluate the propensity of a process for the occurrence of high values and the permanence of these in time. The extremal index θ (Leadbetter 1983) allows to infer the tendency for clustering of high values, but does not allow to evaluate the greater or less amount of oscillations in a cluster. The estimation of θ entails the validation of local dependence conditions regulating the distance between high levels oscillations of the process, which is difficult to implement in practice. In this work, we propose a smoothness coefficient to evaluate the degree of smoothness/oscillation in the trajectory of a process, with an intuitive reading and simple estimation. Application in some examples will be provided. We will see that, in a stationary process, it coincides with the tail dependence coefficient λ (Sibuya 1960, Joe 1997), providing a new interpretation of the latter. This relationship will inspire a new estimator for λ and its performance will be evaluated based on a simulation study.
READ FULL TEXT
