Estimating the extremal coefficient: a comparison of methods

Tail dependence is an important issue to evaluate risk. The multivariate extreme values theory is the most suitable to deal with the extremal dependence. The extremal coefficient measures the degree of dependence between the marginals of max-stable distributions, a natural class of models in this framework. The estimation of the extremal coefficient is addressed and a new estimator is compared through simulation with existing methods. An illustration with real data is presented.This research was financed by Portuguese Funds through FCT—Fundação para a Ciência e a Tecnologia, within the Project UID/MAT/00013/2013 and Project UID/MAT/00006/2013 and by the Research Centre CEMAT through the Project UID/Multi/04621/2013.