Tail dependence and smoothness
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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.
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