Multidimensional extremal dependence coefficients

  title={Multidimensional extremal dependence coefficients},
  author={Helena Ferreira and Marta Ferreira},
  journal={Statistics \& Probability Letters},

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A smoothness coefficient is proposed to evaluate the degree of smoothness/oscillation in the trajectory of a process, with an intuitive reading and simple estimation and it is seen that, in a stationary process, it coincides with the tail dependence coefficient $\lambda$ (Sibuya 1960, Joe 1997), providing a new interpretation of the latter.

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